本文選題：商業(yè)銀行　切入點：個體流動性風(fēng)險　出處：《山西財經(jīng)大學(xué)》2017年碩士論文

【摘要】：杠桿化是現(xiàn)代經(jīng)濟發(fā)展的主要特征之一。隨著經(jīng)濟發(fā)展杠桿化的不斷加深,流動性問題已經(jīng)逐漸超越了信用問題,處在了風(fēng)險管理的核心位置。無論是出于盈利性還是安全性,商業(yè)銀行都需要在流動性風(fēng)險方面進行更加嚴格的理論創(chuàng)新和量化管理。本文對商業(yè)銀行流動性風(fēng)險的分析著眼于將商業(yè)銀行個體流動性風(fēng)險和系統(tǒng)流動性風(fēng)險放在同一個框架內(nèi)進行研究。在理論上從三個方面展開,首先是以Shibor為基礎(chǔ),對流動性風(fēng)險度量指標進行理論研究和分析;其次是商業(yè)銀行系統(tǒng)流動性風(fēng)險及其影響因素的理論分析,充實了我國在系統(tǒng)流動性風(fēng)險分析方面的理論內(nèi)容;再次,沿著巴塞爾協(xié)議對于流動性風(fēng)險監(jiān)管的新指標,對商業(yè)銀行的個體流動性風(fēng)險進行了理論分析;最后,采用靜態(tài)面板模型,將Shibor為基礎(chǔ)的流動性度量指標、個體流動性風(fēng)險和系統(tǒng)流動性風(fēng)險納入同一個模型中進行實證分析。理論分析與實證分析結(jié)果表明,系統(tǒng)流動性風(fēng)險對我國商業(yè)銀行的影響最為顯著,人民幣匯率與宏觀經(jīng)濟杠桿率這兩個系統(tǒng)因素需要重點關(guān)注。個體流動性風(fēng)險中的資本充足率與融資結(jié)構(gòu)指標對于流動性風(fēng)險也有顯著的影響。另外,通過對不同種類銀行的進一步實證分析發(fā)現(xiàn),國有銀行的融資結(jié)構(gòu)對于其流動性風(fēng)險影響并不顯著,而股份制銀行的融資結(jié)構(gòu)對于流動性風(fēng)險影響顯著;資本充足率指標雖然不作為流動性風(fēng)險的監(jiān)管指標,但是其對緩解流動性風(fēng)險仍然有重要的作用。
[Abstract]:Leverage is one of the main characteristics of modern economic development. With the deepening of economic leverage, the liquidity problem has gradually gone beyond the credit problem and is at the core of risk management. Commercial banks need to carry out more strict theoretical innovation and quantitative management of liquidity risk. The analysis of liquidity risk of commercial bank focuses on individual liquidity risk and systemic liquidity risk of commercial bank. To carry out research within the same framework. Theoretically, in three ways, Firstly, based on Shibor, the paper makes a theoretical study and analysis on the liquidity risk measurement index, and secondly, the theoretical analysis of the liquidity risk and its influencing factors in the commercial bank system. It enriches the theoretical content of systemic liquidity risk analysis in China. Thirdly, it makes a theoretical analysis of individual liquidity risk of commercial banks along with the new indicators of Basel Accord on liquidity risk regulation. Finally, The static panel model is used to analyze the liquidity index based on Shibor, the individual liquidity risk and the systemic liquidity risk in the same model. The impact of systemic liquidity risk on Chinese commercial banks is most significant. Two systemic factors, RMB exchange rate and macroeconomic leverage ratio, need to be paid more attention to. Capital adequacy ratio and financing structure index in individual liquidity risk also have significant influence on liquidity risk. Through further empirical analysis of different kinds of banks, it is found that the financing structure of state-owned banks has no significant effect on liquidity risk, while the financing structure of joint-stock banks has a significant impact on liquidity risk. Although the capital adequacy index is not regarded as the supervision index of liquidity risk, it still plays an important role in mitigating liquidity risk.
【學(xué)位授予單位】：山西財經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2017
【分類號】：F832.33

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本文編號：1653211