本文選題：商業(yè)銀行 + 流動(dòng)性風(fēng)險(xiǎn)管理��； 參考：《首都經(jīng)濟(jì)貿(mào)易大學(xué)》2017年碩士論文

【摘要】：在商業(yè)銀行經(jīng)營環(huán)境越發(fā)復(fù)雜的背景下,流動(dòng)性沖擊越發(fā)頻繁,流動(dòng)性風(fēng)險(xiǎn)管理的重要性不容忽視。2013年“錢荒”事件表明,我國商業(yè)銀行在經(jīng)營過程中也會(huì)出現(xiàn)流動(dòng)性短缺,面臨流動(dòng)性風(fēng)險(xiǎn)的局面。流動(dòng)性風(fēng)險(xiǎn)突發(fā)性強(qiáng)且具有傳染性,一旦出現(xiàn)對銀行體系乃至整個(gè)金融市場都會(huì)造成很大的沖擊,因此,加強(qiáng)對流動(dòng)性風(fēng)險(xiǎn)的研究與管理具有十分重要的現(xiàn)實(shí)意義。當(dāng)前,受到經(jīng)濟(jì)增速放緩、金融脫媒加快、利率市場化等不穩(wěn)定因素的影響,我國商業(yè)銀行面臨的流動(dòng)性風(fēng)險(xiǎn)及其管理難度增大。本文分析了當(dāng)前我國商業(yè)銀行流動(dòng)性風(fēng)險(xiǎn)的現(xiàn)狀及管理中存在的問題,在現(xiàn)狀分析的基礎(chǔ)上,選取6家大型商業(yè)銀行與30家中小型商業(yè)銀行作為研究對象,建立面板回歸模型實(shí)證檢驗(yàn)各項(xiàng)風(fēng)險(xiǎn)因素對我國商業(yè)銀行流動(dòng)性風(fēng)險(xiǎn)的影響程度�；诨貧w結(jié)果,對大型、中小型兩類商業(yè)銀行進(jìn)行壓力測試,測試結(jié)果表明:在重度壓力情景下,存款增速放緩、凈息差縮窄、同業(yè)負(fù)債比例與同業(yè)拆借利率交互項(xiàng)的增大會(huì)引發(fā)流動(dòng)性風(fēng)險(xiǎn)。同時(shí),中小商業(yè)銀行占比較高的同業(yè)負(fù)債對流動(dòng)性比例的降低起到更為顯著的影響,加大了流動(dòng)性風(fēng)險(xiǎn)的管理難度。通過壓力測試可以得知,目前我國商業(yè)銀行整體上雖然不會(huì)出現(xiàn)較大的流動(dòng)性危機(jī),但是商業(yè)銀行仍需要加強(qiáng)壓力情景下流動(dòng)性風(fēng)險(xiǎn)的管理,重點(diǎn)防范重度壓力情景下可能出現(xiàn)的流動(dòng)性風(fēng)險(xiǎn)。結(jié)合壓力測試得出的分析結(jié)果,本文針對我國商業(yè)銀行當(dāng)前流動(dòng)性風(fēng)險(xiǎn)管理存在的問題,分別對商業(yè)銀行和監(jiān)管機(jī)構(gòu)提出了加強(qiáng)流動(dòng)性風(fēng)險(xiǎn)管理的對策建議:一方面,商業(yè)銀行必須加強(qiáng)流動(dòng)性風(fēng)險(xiǎn)管理的主動(dòng)性,強(qiáng)化風(fēng)險(xiǎn)防范意識(shí);定期、主動(dòng)開展壓力測試,強(qiáng)化對中長期風(fēng)險(xiǎn)的預(yù)測與控制;在經(jīng)營過程中拓寬客戶渠道,增加穩(wěn)定資金來源;積極開展創(chuàng)新中間業(yè)務(wù),逐步降低對傳統(tǒng)存貸息差收入的依賴;高度重視同業(yè)業(yè)務(wù)風(fēng)險(xiǎn),加強(qiáng)期限錯(cuò)配管理,控制好流動(dòng)性風(fēng)險(xiǎn)。另一方面,監(jiān)管機(jī)構(gòu)需要完善并加強(qiáng)流動(dòng)性風(fēng)險(xiǎn)的監(jiān)管,健全壓力測試管理體系。
[Abstract]:Under the background of more and more complex business environment of commercial banks, liquidity shocks become more and more frequent, and the importance of liquidity risk management can not be ignored. The "money shortage" incident in 2013 shows that there will also be liquidity shortage in the course of operation of commercial banks in China. Facing liquidity risk. Liquidity risk is sudden and infectious, once it appears, it will have a great impact on the banking system and even the whole financial market. Therefore, it is of great practical significance to strengthen the research and management of liquidity risk. At present, influenced by the economic growth rate, financial disintermediation, interest rate marketization and other unstable factors, China's commercial banks are facing liquidity risks and management difficulties. This paper analyzes the current situation of liquidity risk and the existing problems in the management of commercial banks in China. On the basis of the analysis of the current situation, 6 large commercial banks and 30 small and medium-sized commercial banks are selected as the research objects. A panel regression model is established to test the influence of various risk factors on liquidity risk of commercial banks in China. Based on the regression results, two types of commercial banks, large, medium and small, were tested under stress. The results showed that the growth rate of deposits slowed down and the net interest margin narrowed under the heavy stress situation. The increase of interbank debt ratio and interbank offered rate interaction will lead to liquidity risk. At the same time, medium and small commercial banks account for a higher level of interbank debt, which has a more significant impact on the reduction of liquidity ratio, and increases the difficulty of liquidity risk management. Through the stress test, we can know that although there will not be a large liquidity crisis in China's commercial banks as a whole, commercial banks still need to strengthen the management of liquidity risk under the pressure scenario. Focus on the risk of liquidity under heavy stress scenarios. According to the analysis result of the stress test, this paper puts forward the countermeasures and suggestions of strengthening liquidity risk management for commercial banks and regulators in view of the problems existing in the current liquidity risk management of commercial banks in China: on the one hand, Commercial banks must strengthen the initiative of liquidity risk management, strengthen the awareness of risk prevention, carry out stress tests regularly, strengthen the prediction and control of medium- and long-term risks, broaden customer channels in the process of operation. To increase stable sources of funds; to actively develop innovative intermediate business, gradually reduce the dependence on traditional deposit and loan interest income; attach great importance to the business risk of the same industry, strengthen term mismatch management, control liquidity risk. On the other hand, regulators need to improve and strengthen the regulation of liquidity risk, and improve the stress test management system.
【學(xué)位授予單位】：首都經(jīng)濟(jì)貿(mào)易大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類號(hào)】：F832.33;F272.3

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