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MBA毕业论文_华商银行流动性风险管理改进研究DOC

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2008 年的次贷危机爆发之前,全球并不存在一个统一协调的流动性监管标 准,各国的银行业所采用的的监管制度各不相同。次贷危机给全球的经济带来的 巨大冲击,引起了全球的学术界、监管机构对全球金融巴塞尔监管框架的深刻反 思,2010 年 9 月,经过了巴塞尔委员会成员国的共同多次会议讨论、修订、完 善,正式出台了巴塞尔协议 III,修订及完善了原巴塞尔协议的监管不足,强调 了逆周期审慎的对金融监管的重要性,并引入了防范系统性风险和流动性风险的 新指标,有效降低了全球的金融行业的经营杠杆,推动了全球金融业全新一轮的 变革。 随着国内外经济金融形势变化,我国商业银行业务经营模式及产品不断出现 新特点,我国监管机构在借鉴国际监管改革成果,经过多年的研究及修订,终于 在2018年5月中国银行保险监督委员会正式出台了《商业银行流动性管理办法》, 对流动性风险监管制度进行修订及完善,进一步推动我国商业银行夯实流动性风 险管理基础,提高流动性风险抵御能力,新办法的实施,开启了我国自巴塞尔 III 以来,加流动性风险管理,维护银行体系安全运行的新时代的到来。而中小 银行在面临经营时,由于其自身存在的众多缺陷,流动性风险管理水平明显达不 到目前系统性重要银行等国有大行,还需要进一步完成流动性风险管理。 论文通过对华商银行一家中小银行的流动性风险管理方面的研究,通过对国 内外流动性风险理论研究、国内商业银行流动性风险管理方法及识别的研究,针 对华商银行流动性风险管理现状进行分析评价,分析华商银行流动性风险管理中 存在的问题,深入剖析该银行风险管理中的不足,并提出合理的改进方案, 通过 深入研究,可以进一步提高华商银行的流动性风险管理能力,有助于提升华商银 行在金融市场的竞争力能, 平衡流动性、安全性和盈利性之间的“三性”关系, 同时对其他中小银行的流动性风险管理提供积极的借鉴意义。 关键词:流动性, 华商银行, 流动性风险管理II RESEARCH ON IMPROVEMENT OF LIQUIDITY RISK MANAGEMENT OF CHINEASE MERCANTILE BANK Abstract Before the US subprime financial crisis in 2008, there was no unified and coordinated standard for global liquidity supervision, and banking supervision systems in different countries vary as well. The huge impact of the subprime crisis on the global economy has aroused profound reflection on the global financial Basel supervision framework by academia and regulatory authorities. Third Basel Accord was agreed upon by the members of the Basel Committee on Banking Supervision in September 2010 after discussions, revisions and improvements at several meetings, which revised and improved the original Basel Concordat. It emphasizes the importance of counter-cyclical prudent financial supervision and introduces new indicators to prevent market liquidity risk, which effectively decreases bank leverage globally and promotes a new round of changes in the global financial industry. With the changing economic and financial situations at home and abroad, new characteristics of commercial banks’ business models and products are constantly emerging in China. After years of research and revision, China Insurance Regulatory Commission formally formulated in May 2018 Measures for Liquidity Management of Commercial Banks by drawing lessons from international regulatory reform achievements to revise the Liquidity Risk Supervisory System. It will facilitate commercial banks to consolidate liquidity risk management and promote the ability to resist liquidity risk and has opened a new era for China since Basel III to maintain the safe operation of the banking system. Because of their own deficiency, small and medium-sized banks are faced with a weaker liquidity risk management compared with current major systemic banks, which needs to be solved. Through research on liquidity risk management of Chinese Mercantile Bank, a small and medium-sized bank, on domestic and overseas liquidity risk theories, on liquidity risk managements and identifications of domestic commercial banks, my paper analyses and evaluates the current situation as well as existing problems of liquidity risk management of Chinese Mercantile Bank and put forwards a reasonable project for improvement.III A profound study can further improve her ability in the liquidity risk management of Chinese Mercantile Bank, and helps her with a more competitive role in the financial market, which ensures the balance of liquidity, security and profitability, and sets a positive example for other small and medium-sized banks. Key words: Liquidity, Chinese Mercantile Bank, Liquidity Risk ManagementIV 目 录 中文摘要........................................................................................................I Abstract.......................................................................................................II 第一章 绪论................................................................................................1 1.1 研究背景和研究意义.................................................................................... 1 1.1.1 研究背景 ................................................................................................. 1 1.1.2 研究意义 ................................................................................................. 2 1.2 研究思路和研究方法.................................................................................... 3 1.2.1 研究思路 ................................................................................................. 3 1.2.1 研究方法 ................................................................................................. 4 1.3 研究内容和论文框架 .................................................................................... 5 1.3.1 研究内容 ................................................................................................. 5 1.3.2 论文框架 ................................................................................................. 6 第二章 流动性风险管理的相关理论综述........................................................7 2.1 商业银行流动性风险管理的理论 ................................................................... 7 2.1.1 商业银行流动性风险的内涵 ...................................................................... 7 2.1.2 商业银行流动性风险的成因 ..................................................................... 7 2.1.3 商业银行流动性风险的特殊性.................................................................. 9 2.1.4 商业银行流动性风险管理的必要性......................................................... 10 2.2 商业银行流动性风险管理的发展概述............................................................11 2.2.1 商业银行流动性风险管理理论发展历程.................................................. 11 2.2.2 商业银行流动性风险管理监管政策概况.................................................. 13 2.3 商业银行流动性风险识别与管理要求............................................................13 2.3.1 商业银行流动性风险识别....................................................................... 13 2.3.2 商业银行流动性风险管理要求................................................................ 17 第三章 华商银行流动性风险管理现状及问题...............................................19 3.1 华商银行简介.............................................................................................19 3.1.1 基本情况 ............................................................................................... 19 3.1.2 公司治理 ............................................................................................... 20 3.1.3 管理架构 ............................................................................................... 21 3.1.4 财务情况 ............................................................................................... 22 3.1.5 人员情况 ................................................................................................ 23 3.1.6 行业排名 ............................................................................................... 23V 3.2 华商银行流动性风险管理现状 .....................................................................24 3.2.1 华商银行流动性风险管理治理架构......................................................... 24 3.2.2 华商银行流动性风险识别及管理要求 ...................................................... 26 3.2.3 华商银行流动性风险情况....................................................................... 26 3.3.4 华商银行流动性风险压力测试................................................................. 27 3.3.5 华商银行流动性风险的管理系统现状 ...................................................... 31 3.3 华商银行流动性风险管理存在的问题...........................................................31 3.3.1 尚待完善的工作管理程序........................................................................ 31 3.3.2 资产负债管理缺乏科学的管理方法及途径 .............................................. 31 3.3.3 流动性风险压力测试模型的风险因素选取范围狭窄 ................................ 33 3.3.4 缺乏强大及科学的管理技术支持 ............................................................ 34 第四章 华商银行流动性风险管理改进设计...................................................36 4.1 华商银行流动性风险管理改进的目标与原则 ................................................36 4.1.1 改进的目标............................................................................................ 36 4.1.2 改进的原则............................................................................................ 37 4.2 调整流动性风险管理工作程序 .....................................................................38 4.3 建立科学有效的资产负债管理方法 ...............................................................38 4.3.1 优化原理 ................................................................................................ 39 4.3.2 基本模型 ................................................................................................ 39 4.3.3 量化测算 ................................................................................................ 40 4.4 完善流动性风险管理压力测试模型选取的风险因素 .......................................41 4.4.1 压力测试目标 ........................................................................................ 41 4.4.2 压力测试框架 ........................................................................................ 41 4.4.3 压力情景系数 ......................................................................................... 41 4.4.4 压力测试程序 ........................................................................................ 42 4.5 加大科技投入及人才队伍建设力度 ...............................................................43 4.5.1 人才队伍建设 ......................................................................................... 43 4.5.2 科技系统建设 ........................................................................................ 43 第五章 华商银行流动性风险管理改进评价及实施保障 .................................45 5.1 改进前后的对比评价 ...................................................................................45 5.1.1 厘清了流动性风险管理工作程序 ............................................................ 45 5.1.2 加强科学管理资产负债总量及结构的方法 .............................................. 45 5.1.3 完善了流动性风险压力测试模型 ............................................................ 45 5.2 实施保障 ....................................................................................................45VI 5.2.1 政策研究 ............................................................................................... 45 5.2.2 内部审计 ............................................................................................... 46 5.2.3 资源支持 ............................................................................................... 46 第六章 结论及展望 .....................................................................................47 6.1 结论 ..........................................................................................................47 6.2 不足及展望 .................................................................................................47