【作者】 郭宣麟；

【导师】 闫晓莉；

【作者基本信息】 哈尔滨工程大学 ， 金融学， 2011， 硕士

【摘要】 保持资产的安全性、流动性、盈利性是商业银行管理的三原则。而其中的流动性风险管理的能力可以称作是一种关系商业银行生死存亡的重要能力。2008年爆发的次贷危机中接连倒闭的银行提醒我们：流动性短缺在金融资本市场正常的时候对商业银行不会有很大影响,而一旦极端情况发生引起部分影响因素发生重大变化,就很可能使流动性危机成为银行倒闭的关键风险。目前我国商业银行的流动性风险管理还不是很成熟,各银行多根据中国银行业监督管理委员会的流动性风险指标进行简单分析,而忽略了应对特殊情况下的流动性危机。为了中国金融的稳定发展,更要加强对流动性风险管理的讨论和研究,找出具有中国特色的流动性风险管理方法,以适应瞬息万变的国际经济形势,为我国金融业的成长省去后顾之忧。本文在国内外商业银行流动性风险管理理论的基础上,创造性的引入了压力测试这一新兴风险管理技术作为研究的侧重点。首先,从宏观和微观两个角度全面分析了目前我国商业银行流动性现状,然后结合具体数据分析了超额准备金率和存贷比两个流动性风险评价指标,并总结了商业银行流动性的潜在风险情况。其次,在内部和外部两个方面对商业银行流动性风险的影响因素进行分析,据此选取了十个具有代表性的影响因素。利用收集到的商业银行、宏观经济数据进一步运用灰色关联度分析法,完成对影响因素的关联度排序。在此基础上,选取了五种重要变量分别对国有控股商业银行、全国性的股份制商业银行、城市和农村商业银行三类银行进行多元回归分析,构建风险评估模型。最后基于风险评估模型对股份制商业银行和城市与农村商业银行进行了压力测试并得出实证结论,并根据实证结果提出了针对我国商业银行流动性风险管理的一些建议。更多还原

【Abstract】 The assets safety, liquidity and profitability are the three management principles for commercial banks, among which the liquidity risk management could be regarded as a critical capability of vital importance of commercial banks. The bankruptcies of banks took place successively during the subprime crisis in 2008 has warned us that the short in liquidity will not bring much impact on commercial banks under the normal condition of financial and capital markets, however, the liquidity crisis may be caused on some extreme circumstances and possibly become the key risk for bankruptcies of banks. So far, the liquidity risk management of the Chinese commercial banks is still immature; most of the banks just make simple analysis according to the liquidity risk indicator announced by the China Banking Regulatory Commission (CBRC), and ignore the liquidity crisis management under special circumstances. To realize the steady development of the Chinese financial industry, it is important to enhance the discussion and research on the liquidity risk management and find out methods for liquidity risk management with the Chinese characteristics, so as to adapt to the constantly changing international economic situation and eliminate the worries for the sustainable development of the Chinese financial industry.On the basis of liquidity risk management theory of domestic and foreign commercial banks, this paper innovatively introduces the concept of stress testing, a newly emerged risk management technique, as the emphasized point of the research. Firstly, it makes an all-round analysis of the current situation of the liquidity management of Chinese commercial banks from both macro-economic and micro-economic aspects, and then analyzes the two liquidity risk evaluation indicators including the excess reserve ratio and loan-to-deposit ratio according to detailed statistics, and finally summarizes the potential liquidity risks of commercial banks. Secondly, it focuses on the influential factors related to liquidity risks of commercial banks and makes analysis thereof from both internal and external aspects, and picks out 10 representative factors accordingly. By analyzing the collected data of commercial banks and macro-economy through the gray relevance method, this paper also makes the relevance ranking of these influential factors. And on the basis of this, it selects 5 important variables to make the multiply regression analysis of three kinds of banks separately including the state-owned holding banks, national joint-stock commercial banks, and urban and rural banks. Finally, it makes the stress testing of some commercial banks on the base of risk evaluation model and draws the conclusion, and puts forward some suggestions for the liquidity risk management of the Chinese commercial banks accordingly.更多还原