资本缓冲约束下商业银行资产负债管理研究

发布时间：2018-01-30 20:00

本文关键词： 资本缓冲资产负债管理优化模型风险管理　出处：《湖南大学》2015年硕士论文　论文类型：学位论文

【摘要】：随着利率市场化、金融市场复杂化和金融全球化等因素的出现,银行业风险也日益复杂化。在这种金融环境影响下,如何有效实施商业银行的资产负债管理,更好的实现商业银行“三性平衡”,成为衡量商业银行核心竞争力的重要尺度,也迫使商业银行资产负债管理不断革新。2008年全球金融危机爆发后,为了应对金融危机并提高整个金融体系抗击系统性风险的能力,2010年12月20国集团首尔峰会批准了《巴塞尔协议III》的改革方案,研究制定了国际通用的银行业监管新规。《巴塞尔协议III》中提出的资本缓冲机制属于宏观审慎监管的核心内容,资本缓冲机制的实施能够有效覆盖商业银行的系统性风险,缓解由于商业银行微观经济行为所加剧的亲周期性趋势,有效弥补商业银行非预期损失。但随着《巴塞尔协议III》监管要求的提高,商业银行面临更高的资本要求,资本的稀缺性影响着商业银行资产负债管理行为的调整。因此,如何在满足资本缓冲要求下优化商业银行资产负债管理,实现商业银行宏观审慎监管和微观审慎监管的有机结合是本文研究的重点。本文首先回顾和总结了国内外学者关于资本缓冲的相关研究和资本监管下商业银行资产负债管理的相关理论,描述了商业银行目前资本缓冲水平与资产负债管理的现状。在此基础上本文从理论上探讨了资本缓冲提取与商业银行资产负债管理的一致性和矛盾性;在实证探讨资本缓冲与资产负债管理相关关系方面,本文以资产负债管理的效能为因变量,通过广义GMM模型实证检验了商业银行资本缓冲对资产负债管理效能和主要资产负债项目的影响。实证结果表明:资本缓冲监管压力越大,上市银行效能越低,二者是负相关关系,其中国有大型银行面临的资本缓冲监管压力要强于股份制商业银行,国有大型银行的特许权价值高于股份制银行,会更倾向于保持较高的资本缓冲水平。本文的第四章从利率缺口模型出发,建立了资本缓冲约束下的资产负债管理优化模型。结果表明,有资本缓冲约束的预留缺口模型能够使商业银行更好的实现风险和收益的平衡,该资产负债优化模型使得银行在利率朝着有利方向变动时能够有效捕捉市场的获利机会,实现银行净值的增加,在利率朝不利方向变动时银行仍仍维持监管要求,避免监管成本的增加。最后为了优化商业银行资产负债管理,本文提出了相关的对策建议。
[Abstract]:With the emergence of interest rate marketization, financial market complication and financial globalization, banking risks are becoming more and more complicated. Under the influence of this financial environment, how to effectively implement the asset and liability management of commercial banks. A better realization of commercial banks "three-sex balance" has become an important measure of the core competitiveness of commercial banks, but also forced commercial banks to continue to innovate the management of assets and liabilities. In 2008, the global financial crisis broke out. In response to the financial crisis and to enhance the ability of the entire financial system to combat systemic risk, the Group of Nations summit in Seoul on December 20th 2010 approved the Basel III reform package. The capital buffer mechanism proposed in Basel Accord III is the core content of macro-prudential supervision. The implementation of capital buffer mechanism can effectively cover the systemic risks of commercial banks and alleviate the pro-cyclical trend aggravated by the microeconomic behavior of commercial banks. Commercial banks are faced with higher capital requirements with the improvement of the regulatory requirements of Basel III. The scarcity of capital affects the adjustment of asset liability management behavior of commercial banks. Therefore, how to optimize the asset liability management of commercial banks under the requirements of capital buffer. To realize the organic combination of macro-prudential supervision and micro-prudential supervision of commercial banks is the focus of this paper. Firstly, this paper reviews and summarizes the relevant researches of domestic and foreign scholars on capital buffering and commercial bank capital under capital supervision. The related theory of production liability management. This paper describes the current situation of capital buffer level and asset liability management in commercial banks, and on this basis, discusses the consistency and contradiction between capital buffer extraction and asset liability management in commercial banks theoretically. In the empirical study of the relationship between capital buffering and asset liability management, this paper takes the effectiveness of asset liability management as a dependent variable. The paper empirically tests the effect of capital buffer on asset liability management efficiency and main asset-liability items by using generalized GMM model. The empirical results show that the more pressure of capital buffer supervision is. The lower the efficiency of listed banks, the negative correlation between the two, in which large state-owned banks are faced with stronger capital buffer supervision pressure than joint-stock commercial banks, and the franchise value of large state-owned banks is higher than that of joint-stock banks. The 4th chapter of this paper starts from the interest rate gap model and establishes the asset liability management optimization model under the capital buffer constraint. The results show that. The reserve gap model with capital buffer constraints can make commercial banks achieve a better balance between risk and income. The asset-liability optimization model enables banks to effectively capture the profit opportunities of the market and achieve the increase of bank net value when the interest rate moves in a favorable direction. In order to optimize the management of assets and liabilities of commercial banks, this paper puts forward some countermeasures and suggestions for the purpose of optimizing the management of assets and liabilities of commercial banks.
【学位授予单位】：湖南大学
【学位级别】：硕士
【学位授予年份】：2015
【分类号】：F832.33

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