【作者】 潘新民；

【导师】 陈荣秋；

【作者基本信息】 华中科技大学 ， 工商管理， 2008， 博士

【摘要】 经济全球化、金融自由化和经济市场化步伐的加快,使中国银行业面临前所未有的发展机遇与挑战。商业银行自诞生之日起,风险就与之相伴相随,其提供金融服务的过程也就是承担和控制风险的过程。银行风险已由单一的信贷风险发展成为包括信用风险、利率风险、市场风险、流动性风险、声誉风险、操作风险、法律风险、策略风险等在内的多类型风险。对于中部地区股份制商业银行分支机构而言,策略风险、信用风险和操作风险构成运营中的核心风险。如何防控这三类风险,成为分行级股份制商业银行经营发展过程中的一个重要课题。本文主要围绕三大核心风险,分别就中部地区分行级商业银行发展八大因素分析,统一尺度的信贷集中度量指标体系构建,商业汇票操作风险防控模型创建等三个具体问题进行深入研究。(1)提出中部地区分行级商业银行策略风险防范八大因素。发展策略决定银行发展的方向,策略风险是影响银行持续发展的主要风险。现有文献多在总行层面展开研究,围绕分行层面策略风险的研究鲜见于文献。论文紧密围绕中部地区分行级商业银行策略风险问题,在深度探讨引致银行风险的资本约束、利率市场化、发展模式、经营环境等问题的基础上,量化分析银行“郑州现象”产生及消退的深层次原因。文章围绕中部地区经济社会发展实际,通过实证研究,提出提高分行级商业银行防范策略风险的八大因素(扩张速度、目标客户、核心竞争力、经营战略、管理技术、全面管理、风险文化、品牌战略),并对它们进行全面分析,旨在构建与中部地区经济社会发展水平相适应的经营策略,为分行级商业银行摒弃传统资产拉动式粗放模式,实施集约化、科学发展提供借鉴。(2)建立基于基尼系数的信贷集中度衡量指标体系。信贷集中度过高是中部地区银行主要信用风险,以向发达地区、高利润行业、大企业大项目集中的“羊群效应”逐步显现。现行以极值数据计算“贷款十大客户”为主的衡量指标,多为法人机构所构建,不适用于非法人和非同质同类银行间比较。论文构建基于基尼系数的信贷集中度指标,通过引入全口径数据取代简单极值数据进行测度。文章给出洛仑兹方程算法和几何算法模型,通过7家银行总、分行级信贷数据的实证与检验,以全口径计量的指标较传统指标在非法人省级银行机构运用中有更广泛的测度,能更客观的衡量分行级商业银行贷款集中水平,为防范分行级商业银行信用风险提供依据。(3)创建基于信息共享的商业汇票监管模型。票据案件引致的操作风险,曾占据分行级商业银行损失的半数之上。由于银行间存在信息不对称,传统的“内审外督”模式不能及时防控跨区域、内外勾结的票据案件发生。为了实现银行间票据市场信息共享,论文创建基于信息共享平台为核心的监管模型,通过汇集商业汇票流转过程中的基础数据,建立跨行勾稽为主的风险规则,形成操作风险知识库,对大头小尾等六类风险模式进行自动识别,实现对票据流转全过程监控。以此思路开发的系统在中部某省应用后,有效地遏制了票据案件发生,大大降低分行级商业银行的操作风险。此外,论文首次对银行票据市场的微观结构进行量化分析,实证得出商业汇票运转的微观行为特征,为科学规范票据市场主体行为提供决策支持。更多还原

【Abstract】 The banking system of China are facing great opportunities and challenges which it had never faced, since China are under the circumstance of economic globalization, the financial freedom, the incorporation. Risk is accompanied with the commercial banks since the birth of them. The provision of financial services is the process of taking and controlling the risks. Bank risks not only include the single credit risk, but also include complex credit risk, such as interest rate risk, market risk, liquidity risk, reputation risk, operational risk, legal risk, strategy risk and so on. Among the all risks, the strategic risk, credit risk and operational risk constitute the core risk of the operating process to the branches of central joint-stock commercial banks. How to guard against and control these three categories of risks becomes an important issue in the development of a branch-level joint-stock commercial bank.The thesis is based on three core risks, it makes a deep analysis on the construction of central brach-banks of unified standards on credit metrics model. The development of operational risk prevention and control system exist in commercial exchange.(1) Construct eight elements of the prevention of the strategy risk of the central branch-banks.The direction of the bank is decided by the development strategy of the bank, and it is the main risk on the sustainable development of the bank. Many of the existing literature are made research on the front head office, branches around the level of risk research strategy is rare in literature. The thesis is concentrated on the strategy risk of central brach-banks, based on the analysis of "capital constraints, market-oriented interest rates, the mode of development, environment" on the banks., analyzing a large number of objective and comprehensive data and cases about the joint-stock banks "Zhengzhou phenomenon". This article is around the actual development of the central area, through empirical research, getting the eight elements of the prevention on strategy risk,that is rate of expansion, target customers, core business competitiveness , business strategy, management technology, comprehensive management, risk management culture and implementing external brand strategy, the aim is to build a management strategy to the central region with the economic and social development level to abandon the traditional asset-driven model of extensive, intensive implementation of the scientific development of the draw.(2) Construction of the index on the Gini coefficient to measure the concentration of credit indicators The concentration of the loans of the joint-stock bank in the central area is the main credit risk, and the "herding effect" to developed areas, high-profit industry, large enterprises focus on large projects are gradually shown."Ten loans," as the existing concentration of indicators to measure credit, are put by corporate bodies, in different sizes, when it is used in different levels of the bank’s branch-level illegal organization, it will show flaw. This thesis is based on the Gini coefficient of concentration of credit indicators model, and the simple data extreme measure is replaced by introducing of full-calibre data. The thesis also use Lorenz equations and geometric algorithms algorithm model, by the empirical analysis of the seven bank, branch-level , positive results show that the index of the concentration of loans based on the Gini has a better applicability and can give a better basis to the prevention of the bank credit risk.(3) construction of commercial draft operational risk modle based on the f information-sharing regulation.Notes cases arising from operational risk, have occupied a branch-level commercial banks the loss of half of the above. Due to the existence of asymmetric information between banks, the traditional "outside the Governor audit" model can not be cross-regional prevention and control in a timely manner, both within and outside the paper’s collusion cases. In order to achieve inter-bank market instruments to share information, create a paper-based information sharing platform at the core of the regulatory model, by pooling the basis data of the commercial draft, on the basis of the inter-business bills Gouji mainly to the risk of rules, the acceptance does not match the discount rate (Big Head small tail) , and through the analysis of the circulation of bills, monitoring instruments and omissions, and to supervise the circulation of the entire process of instruments. A system base on the theory that is used in one province in the central area has restrained legal cases on bill successfully and lower the operational risk of the branch-bank. The thesis notes the first time on the quantitative analysis in the banking market microstructure, making empirical analysis of the functioning of commercial bills of exchange of micro-features, and making a good support of data for further standardizing the market instruments.更多还原