本文關(guān)鍵詞： 系統(tǒng)性風(fēng)險(xiǎn) 銀行間市場(chǎng) 矩陣法　出處：《湘潭大學(xué)》2014年碩士論文　論文類(lèi)型：學(xué)位論文

【摘要】：2007年，美國(guó)次貸危機(jī)對(duì)全球金融體系和實(shí)體經(jīng)濟(jì)造成重創(chuàng)。于是，監(jiān)管者開(kāi)始重新審視金融體系的穩(wěn)健性，將監(jiān)管重點(diǎn)從以往的微觀審慎監(jiān)管轉(zhuǎn)移到宏觀審慎監(jiān)管，更多地關(guān)注如何保障整個(gè)金融系統(tǒng)尤其是銀行系統(tǒng)的安全。由于銀行相互之間存在高度信貸關(guān)聯(lián)，單個(gè)銀行倒閉會(huì)引發(fā)一連串銀行或倒閉或遭受一定程度的資產(chǎn)損失，最終可能波及到整個(gè)金融體系。因此次貸危機(jī)之后，各國(guó)開(kāi)始高度關(guān)注銀行間風(fēng)險(xiǎn)傳染效應(yīng)的評(píng)估和監(jiān)管。 本文依據(jù)矩陣法原理，基于2011年各上市銀行的年報(bào)數(shù)據(jù)，不考慮金融安全網(wǎng)的作用來(lái)模擬我國(guó)銀行間市場(chǎng)系統(tǒng)性風(fēng)險(xiǎn)。銀行同業(yè)往來(lái)狀況主要反映在銀行資產(chǎn)負(fù)債表的四個(gè)科目中，分別是存放同業(yè)、拆放同業(yè)、同業(yè)存放、同業(yè)拆放，每個(gè)科目按照交易對(duì)象及交易地區(qū)的不同，又劃分為境內(nèi)（外）同業(yè)、境內(nèi)（外）非銀行金融機(jī)構(gòu)四個(gè)子科目。本文首先將境內(nèi)非銀行金融機(jī)構(gòu)及境外同業(yè)往來(lái)數(shù)據(jù)剔除后對(duì)我國(guó)銀行間市場(chǎng)交易矩陣進(jìn)行模擬，然后考慮到非銀行金融機(jī)構(gòu)在銀行同業(yè)交易中的比重不斷上升，將非銀行金融機(jī)構(gòu)的同業(yè)拆借數(shù)據(jù)包括在內(nèi)再次測(cè)算銀行間市場(chǎng)傳染風(fēng)險(xiǎn)，研究結(jié)果顯示：（1）系統(tǒng)性風(fēng)險(xiǎn)傳染程度除了與清償能力相關(guān)外，還與資產(chǎn)損失率θ相關(guān)，，θ越高，系統(tǒng)性風(fēng)險(xiǎn)波及的范圍越大，導(dǎo)致的后果越嚴(yán)重；（2）改進(jìn)后的矩陣模型模擬銀行同業(yè)拆借市場(chǎng)的傳染風(fēng)險(xiǎn)時(shí)，五大國(guó)有銀行和興業(yè)銀行都成為風(fēng)險(xiǎn)傳染源，而改進(jìn)之前的風(fēng)險(xiǎn)傳染源只有工商銀行，這說(shuō)明與非銀行金融機(jī)構(gòu)的同業(yè)往來(lái)在上述傳染源銀行，尤其是在中國(guó)銀行、建設(shè)銀中和工商銀行中占據(jù)很大比例，由此才會(huì)產(chǎn)生數(shù)據(jù)樣本增加后的不同測(cè)算結(jié)果；（3）當(dāng)θ=1時(shí)，中國(guó)銀行倒閉引起建設(shè)銀行資不抵債，同時(shí)建設(shè)銀行一旦倒閉同樣引起中國(guó)銀行倒閉，說(shuō)明中國(guó)銀行、建設(shè)銀行同業(yè)往來(lái)密切；工商銀行倒閉引發(fā)中國(guó)銀行倒閉，但中國(guó)銀行倒閉并沒(méi)有使工商銀行倒閉，說(shuō)明工商銀行在同業(yè)拆借市場(chǎng)中的抗風(fēng)險(xiǎn)能力較強(qiáng)；（4）在股份制商業(yè)銀行中，招商銀行的抗風(fēng)險(xiǎn)能力最強(qiáng)。
[Abstract]:In 2007, the subprime mortgage crisis in the United States caused heavy damage to the global financial system and the real economy. Therefore, regulators began to re-examine the soundness of the financial system, shifting the focus of supervision from microprudential supervision to macro-prudential supervision. Paying more attention to the security of the financial system as a whole, especially the banking system. Because of the high credit relationship between banks, the failure of a single bank can lead to a series of bank failures or some degree of asset losses, As a result, after the subprime mortgage crisis, countries began to pay close attention to the assessment and regulation of the contagion effect between banks. Based on the principle of matrix method and the annual report data of each listed bank in 2011, Without considering the role of the financial safety net, we can simulate the systemic risk in the interbank market in China. Interbank transactions are mainly reflected in the four subjects of the bank balance sheet, namely, depositing interbank, interbank depositing, interbank depositing, and interbank offering. Each subject is divided into domestic (external) peers according to the object of the transaction and the region in which it is traded. Four sub-subjects of domestic (external) non-bank financial institutions. Firstly, this paper simulates the interbank market transaction matrix of our country after the data of domestic non-bank financial institutions and foreign interbank transactions are removed. Then taking into account the increasing proportion of non-bank financial institutions in interbank transactions, including the interbank lending data of non-bank financial institutions, the risk of contagion in the interbank market is again measured. The results show that the degree of systemic risk contagion is not only related to solvency, but also to asset loss rate 胃. The higher 胃 is, the larger the scope of systemic risk spread is. The more serious the consequences, the more serious the improved matrix model is when it comes to simulating the contagion risk in the interbank lending market, the five major state-owned banks and industrial and commercial banks are both the source of risk contagion, while the only source of risk infection before the improvement is the Industrial and Commercial Bank. This shows that interbank exchanges with non-bank financial institutions account for a large proportion of the above-mentioned source banks, especially the Bank of China, and ICBC, which will result in different results after the increase of data samples.) when 胃 = 1:00, The failure of the Bank of China caused the China Construction Bank to be insolvent, and the collapse of the Construction Bank also led to the collapse of the Bank of China, indicating that the Bank of China and the Construction Bank had close interbank exchanges; the collapse of the Industrial and Commercial Bank of China caused the collapse of the Bank of China. However, the failure of Bank of China did not cause ICBC to fail, indicating that ICBC has stronger ability to resist risks in the interbank lending market. (4) among joint-stock commercial banks, China Merchants Bank has the strongest ability to resist risks.
【學(xué)位授予單位】：湘潭大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類(lèi)號(hào)】：F832.3;F224

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