基于模糊层次分析法的我国系统重要性银行判别研究

发布时间：2018-01-02 12:24

本文关键词：基于模糊层次分析法的我国系统重要性银行判别研究　出处：《中国矿业大学》2015年硕士论文　论文类型：学位论文

【摘要】：2014年全球经济动荡,美国、英国经济形势稍有好转,欧元区和日本经济低迷不振,亚太新兴市场发展风险加剧。中国作为新兴经济体,银行系统在全面金融服务方面有主导作用。“雷曼兄弟”的破产使监管机构意识到针对系统重要性银行监管不足的问题,表现在对银行衍生业务风险程度没有充分控制、缺乏应对危机发生情况下的自救方法和处置程序,致使其风险连续传导不断扩散放大,给实体经济发展和金融业都带来巨额损失。在新的经济和监管环境下,我们必须建立一套符合我国实际经济发展状况的系统重要性银行评估体系。本文从国外和国内两个视角研究系统重要性的概念,进而初步形成我国系统重要性银行定义。然后本文在银监会发布的指标体系的基础上,详细研究系统重要性银行各指标的内涵并深入明确各二级指标。在这种理论与实践都迫切需要的背景下,本文结合我国银行业发展实际情况,选取规模、相关性、可替代性和复杂性四个一级指标,详细的二级指标在文中详细阐述。应用模糊层次分析法计算各类指标的权重,选取16家上市银行2010至2013四年的年报数据,根据计算结果对我国上市银行的系统重要性进行排序,另外设置0.1、0.05、0.02三个阈值标准对系统重要性银行归类。研究结果表明我国一级系统重要性银行是四大国有商业银行,二级系统重要性银行是交通银行。三级系统重要性银行有6家,分别是招商、中信、光大、民生、兴业和浦发,其他银行则属于非系统重要性银行。基于以上研究成果,本文从四个方面提出完善我国系统重要性银行监管的政策建议。一、建立分级额外资本补充机制,即一级系统重要性银行额外资本要求为1%,二级系统重要性银行额外资本要求为0.5%,三级系统重要性银行额外资本要求为0.25%。二、监控我国系统重要性银行业务关联性和复杂性,控制银行体系内部的风险自营业务,对高风险衍生工具交易业务进行业务隔离政策。三、完善我国银行业信息披露制度,保证监管部门对银行业的风险有充分认识并能及时处理。四、完善系统重要性银行危机处置程序,防止风险的过度传导和破产银行的资产流失。
[Abstract]:In 2014, the global economic turmoil, the United States and Britain's economic situation improved slightly, the euro zone and Japan's economic downturn, Asia-Pacific emerging market development risks increased. China as an emerging economy. The banking system has a leading role in overall financial services. The collapse of Lehman Brothers has made regulators aware of the problem of systemically important banking underregulation. It shows that the risk degree of bank derivative business is not fully controlled, and the self-rescue method and disposal procedure to deal with the crisis are lacking, resulting in the continuous spread and amplification of the risk. Huge losses to both the real economy and the financial sector. In the new economic and regulatory environment. We must set up a set of systematical importance bank evaluation system in accordance with the actual economic development of our country. This paper studies the concept of system importance from two perspectives of foreign and domestic. Then the definition of systemically important bank in China is preliminarily formed. Then this paper based on the index system published by CBRC. In this paper, we study the connotation of systemically important banking indicators and define the secondary indicators in depth. Under the background of the urgent need of this theory and practice, this paper combines the actual situation of banking development in China, select the scale. Correlation, substitutability and complexity of the four first-level indicators, detailed second-level indicators in detail in this paper. The use of fuzzy analytic hierarchy process to calculate the weight of various indicators. Select 16 listed banks from 2010 to 2013 of the annual report data, according to the results of the calculation of listed banks in the order of the importance of the system, in addition to set 0.1% 0.05. 0.02 three threshold standards are classified as systemically important banks. The results show that the primary systemically important banks in China are four state-owned commercial banks. The secondary system-importance bank is the Bank of Communications. There are six three systemically important banks, namely, China Merchants, CITIC, Everbright, people's livelihood, Societe Generale and Pudong Development. Other banks belong to non-systemically important banks. Based on the above research results, this paper puts forward policy recommendations to improve the supervision of systemically important banks in China from four aspects. First, the establishment of graded additional capital supplement mechanism. That is, the additional capital requirement of the first class system-importance bank is 1, the second level system-importance bank's extra capital requirement is 0.5, and the third level system-importance bank's extra capital requirement is 0.25. 2. Monitor the relevance and complexity of systemically important banking business, control the risk proprietary business within the banking system, and carry out business isolation policies for high-risk derivative trading business. Improve our banking information disclosure system to ensure that the regulatory authorities have a full understanding of banking risks and can be dealt with in time. Fourth, improve systemically important banking crisis handling procedures. To prevent excessive transmission of risk and the loss of assets of bankrupt banks.
【学位授予单位】：中国矿业大学
【学位级别】：硕士
【学位授予年份】：2015
【分类号】：F832.33

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