【摘要】：從巴塞爾委員會于2010年底發(fā)布巴塞爾協議III以來,加強和提高了國際流動性風險監(jiān)管的一致性,金融體系的穩(wěn)定性得以進一步提高。同步推進,我國監(jiān)管機構對國內商業(yè)銀行在該監(jiān)管框架上的計量實施總體上是優(yōu)良的,使得商業(yè)銀行的在風險加權資產、資本及其質量、全面的風險管理的工作越來越全面、完善和精細化。雖然我國銀行業(yè)改革發(fā)展取得了令人矚目的成就,但要與我國日益龐大的實體經濟需求相適應,與國際領先同業(yè)相比,仍需要較快且穩(wěn)健地發(fā)展。同時在流動性方面也在不斷地積累問題和風險,對我國的監(jiān)管體系提出了新的挑戰(zhàn)和要求。總結以往的流動性風險管理經驗以及應對新的流動性風險問題需要深入地進行研究。本文以流動性風險管理體系為研究對象,通過廣泛閱讀相關文獻、深入研究各類風險管理理論和模型的基礎上,運用定性定量實證分析方法探索流動性風險的主要影響因素。文章首先研讀國內外相關文獻,歸納綜述風險管理尤其是流動性風險管理的研究成果。在參考和借鑒大量研究成果的基礎上,建立本文的研究思路,為后文展開研究指引了方向;其次,深入研究市場因素以及各類風險的內容,并結合流動性風險管理的內容和特點,為本文構建理論基礎;再次,運用相關性分析和回歸分析模型等經濟學術領域普遍應用的定性分析方法,通過采集和處理國內商業(yè)銀行各個風險指標的數據和宏觀經濟指標數據,構建的多元線性回歸方程并定量方程中各變量的系數,從而分析出各解釋變量對被解釋變量的影響程度,即各影響因素對流動性風險的影響程度;最后,總結本文研究成果,并結合本文研究結論針對國內商業(yè)銀行和市場監(jiān)管者提出建設性意見,具有一定的現實意義和實踐價值。本文重點對信用風險、市場風險、流動性風險、資本等影響因素使用其相對應的監(jiān)測指標和內容,包括資本充足率、杠桿率、流動性比率、存貸比、不良貸款率、市場利率、匯率、貨幣政策等,對流動性覆蓋率進行了實證分析。實證分析的結論表明,市場因素和資本因素以及流動性風險因素與流動性覆蓋率指標是息息相關的,其中資本因素是影響流動性覆蓋率的最主要因素,即是說銀行自身因素是影響流動性的主要因素,市場因素和信用風險因素因素雖然也有一定程度的影響,但是影響力度相對較小。在本文的結尾處,結合本文研究成果,為銀行業(yè)監(jiān)管層、商業(yè)銀行流動性風險管理者們提出了相關的建議。
[Abstract]:Since the Basle Committee issued the III at the end of 2010, the consistency of international liquidity risk regulation has been strengthened and improved, and the stability of the financial system has been further improved. At the same time, the measurement and implementation of domestic commercial banks on this regulatory framework by our regulatory institutions is generally excellent, which makes the work of commercial banks in risk-weighted assets, capital and their quality, and comprehensive risk management more and more comprehensive. Perfect and fine. Although the reform and development of China's banking industry has made remarkable achievements, in order to adapt to the increasing demand of China's real economy, compared with the international leading peers, it still needs to develop quickly and steadily. At the same time, the liquidity is also accumulating problems and risks, which puts forward new challenges and requirements to the regulatory system of our country. Summing up the previous experience of liquidity risk management and dealing with new liquidity risk problems need to be deeply studied. This paper takes the liquidity risk management system as the research object, through extensive reading of relevant literature, deeply studies all kinds of risk management theories and models, and uses qualitative and quantitative empirical analysis methods to explore the main influencing factors of liquidity risk. First of all, this paper studies the relevant literature at home and abroad, summarizes the research results of risk management, especially liquidity risk management. On the basis of referring to and drawing lessons from a large number of research results, the research ideas of this paper are established, which guides the direction of the later research. Secondly, it deeply studies the market factors and the content of all kinds of risks, and combines the contents and characteristics of liquidity risk management to build a theoretical basis for this paper. Thirdly, by using qualitative analysis methods widely used in economic and academic fields, such as correlation analysis and regression analysis model, the data of risk indicators and macroeconomic indicators of domestic commercial banks are collected and processed. The multiple linear regression equation and the coefficient of each variable in the quantitative equation are constructed, and the influence degree of each explanatory variable on the explained variable, that is, the influence degree of each influencing factor on liquidity risk, is analyzed. Finally, it is of practical significance and practical value to summarize the research results of this paper and put forward constructive suggestions for domestic commercial banks and market regulators. This paper focuses on the corresponding monitoring indicators and contents for credit risk, market risk, liquidity risk, capital and other influencing factors, including capital adequacy ratio, leverage ratio, liquidity ratio, deposit-loan ratio, non-performing loan ratio, market interest rate. Exchange rate, monetary policy and so on, this paper makes an empirical analysis of liquidity coverage. The conclusion of empirical analysis shows that market factors and capital factors, as well as liquidity risk factors, are closely related to liquidity coverage indicators, among which capital factor is the most important factor affecting liquidity coverage. That is to say, the bank itself is the main factor affecting liquidity, although the market factors and credit risk factors also have a certain degree of impact, but the impact is relatively small. At the end of this paper, combined with the research results of this paper, some suggestions are put forward for the banking regulatory layer and the liquidity risk managers of commercial banks.
【學位授予單位】：對外經濟貿易大學
【學位級別】：碩士
【學位授予年份】：2017
【分類號】：F832.33
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本文編號：2478992