本文關(guān)鍵詞： 流動(dòng)性風(fēng)險(xiǎn)管理 商業(yè)銀行 壓力測(cè)試　出處：《山西財(cái)經(jīng)大學(xué)》2017年碩士論文　論文類型：學(xué)位論文

【摘要】：21世紀(jì)初,次貸危機(jī)在美國(guó)爆發(fā),美國(guó)的不少商業(yè)銀行面臨著流動(dòng)性短缺的嚴(yán)重問題,有些商業(yè)銀行在這次危機(jī)中相繼倒閉。次貸危機(jī)迅速蔓延致使全球,各國(guó)商業(yè)銀行面臨著流動(dòng)性風(fēng)險(xiǎn)的巨大挑戰(zhàn),并最終衍生為一場(chǎng)全球性質(zhì)的金融風(fēng)暴。在國(guó)內(nèi),商業(yè)銀行流動(dòng)性風(fēng)險(xiǎn)管理已經(jīng)成為相關(guān)監(jiān)管部門的首要工作。由于國(guó)內(nèi)商業(yè)銀行和國(guó)外商業(yè)銀行在很多的性質(zhì)上都存在著巨大的差異,所以,在我國(guó)不能僅單單照搬國(guó)外關(guān)于流動(dòng)性風(fēng)險(xiǎn)管理的一些經(jīng)驗(yàn)和理論,而是務(wù)必要結(jié)合中國(guó)商業(yè)銀行的特殊的經(jīng)營(yíng)模式和結(jié)構(gòu)來進(jìn)行較為深入的定量研究。正因如此,我們首先要能夠?qū)ξ覈?guó)商業(yè)銀行流動(dòng)性風(fēng)險(xiǎn)的包括成因、評(píng)測(cè)以及管理等做出精確的認(rèn)識(shí),并且準(zhǔn)確把握住控制和預(yù)防流動(dòng)性風(fēng)險(xiǎn)的關(guān)鍵因素,使商業(yè)銀行流動(dòng)性風(fēng)險(xiǎn)的爆發(fā)概率能夠有所下降。隨著我國(guó)金融領(lǐng)域發(fā)展的日趨成熟和穩(wěn)定,我國(guó)商業(yè)銀行也越來越積極的參與到全球金融活動(dòng)中去。與之相應(yīng),國(guó)際經(jīng)濟(jì)金融形勢(shì)對(duì)我國(guó)商業(yè)銀行的影響也愈來愈大。在最近的幾年里,國(guó)內(nèi)商業(yè)銀行之間相互拆借和市場(chǎng)回購(gòu)融資已經(jīng)成為國(guó)內(nèi)商業(yè)銀行控制流動(dòng)性風(fēng)險(xiǎn)的一種方式,金融市場(chǎng)融資和拆借頻率與日俱增,商業(yè)銀行面臨著更為嚴(yán)峻的流行性風(fēng)險(xiǎn)挑戰(zhàn)。所以,在我國(guó)商業(yè)銀行的管理中心,對(duì)于流動(dòng)性發(fā)現(xiàn)的把控已經(jīng)是核心任務(wù)。除了銀監(jiān)會(huì)要對(duì)控制流動(dòng)性風(fēng)險(xiǎn)進(jìn)行負(fù)責(zé)之外,銀行內(nèi)部也應(yīng)該加強(qiáng)組織建設(shè)和對(duì)流動(dòng)性風(fēng)險(xiǎn)的把控,而壓力測(cè)試就是銀行控制流動(dòng)性風(fēng)險(xiǎn)的一個(gè)常用的手段。但是在目前壓力測(cè)試的發(fā)展來看,由于缺少技術(shù)水平和實(shí)踐經(jīng)驗(yàn),其測(cè)試結(jié)果數(shù)據(jù)的準(zhǔn)確性和有效性還比較低。所以在這樣的情況下,應(yīng)該從理論基礎(chǔ)出發(fā),為我國(guó)商業(yè)銀行探尋更加有效的壓力測(cè)試的方法已經(jīng)是當(dāng)務(wù)之急。筆者以工商銀行為例,對(duì)商業(yè)銀行流動(dòng)性風(fēng)險(xiǎn)管理做出了實(shí)證分析研究,希望為商業(yè)銀行的流動(dòng)性風(fēng)險(xiǎn)管理提供比較完善的一個(gè)事例論證,具有較強(qiáng)的實(shí)踐應(yīng)用價(jià)值和理論價(jià)值。實(shí)證分析依托于大量數(shù)據(jù),針對(duì)我國(guó)商業(yè)銀行流動(dòng)性風(fēng)險(xiǎn)管理的現(xiàn)狀也給予了非常有效的流動(dòng)性風(fēng)險(xiǎn)管理措施以及防范方案。
[Abstract]:In 21th century, the subprime mortgage crisis broke out in the United States, many commercial banks in the United States are facing the serious problem of liquidity shortage, some commercial banks have collapsed in this crisis. The commercial banks of various countries are facing the huge challenge of liquidity risk, and finally derivative into a global financial storm. At home. Liquidity risk management of commercial banks has become the primary work of the relevant regulatory authorities. Because domestic commercial banks and foreign commercial banks in many of the nature of the existence of huge differences, so. In our country, we can not just copy some foreign experiences and theories about liquidity risk management. It is necessary to combine the special management model and structure of Chinese commercial banks to carry out more in-depth quantitative research. For this reason, we must be able to include the causes of liquidity risk of Chinese commercial banks. Evaluation and management to make accurate understanding, and accurately grasp the control and prevention of liquidity risk key factors. The probability of liquidity risk outbreak of commercial banks can be reduced. With the development of financial field in China, it is becoming more and more mature and stable. China's commercial banks are becoming more and more active in the global financial activities. Accordingly, the international economic and financial situation has become more and more important to our commercial banks. In recent years. Mutual borrowing and market repurchase financing among domestic commercial banks have become a way for domestic commercial banks to control liquidity risk, and the frequency of financing and borrowing in the financial market is increasing day by day. Commercial banks are facing more severe risk challenges. Therefore, the management center of commercial banks in China. Besides the CBRC should be responsible for the control of liquidity risk, the bank should also strengthen the organizational construction and liquidity risk control. Stress testing is a common means for banks to control liquidity risk. However, in the current development of stress testing, due to the lack of technical level and practical experience. The accuracy and validity of the test data is still low. Therefore, in this case, we should proceed from the theoretical basis. It is urgent to explore more effective methods of stress testing for commercial banks in China. Taking ICBC as an example, the author makes an empirical study on liquidity risk management of commercial banks. I hope to provide a more perfect case for the liquidity risk management of commercial banks, with strong practical application value and theoretical value. Empirical analysis is based on a large number of data. In view of the current situation of liquidity risk management of commercial banks in China, it also gives very effective liquidity risk management measures and preventive measures.
【學(xué)位授予單位】：山西財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類號(hào)】：F832.2

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