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MBA毕业论文_融衍生品业务对我国商业银行风险的影响研究PDF

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20世纪 70 年代初金融衍生品已经开始进入现代人类社会的视野。从产生之初, 金融衍生品因其既能避险保值,又能投资获利的特性,就在当时商业银行新兴的业务 中受到了广泛追捧。1997年,我国的商业银行正式展开了金融衍生品业务。鉴于金 融衍生产品的这些特点,近年来,我国商业银行金融衍生品业务日新月盛。但是,由 于目前的金融衍生品业务多为金额相对较大的投资保证金进行交易,杠杆效应显著, 一旦违约,商业银行面临的风险巨大。2020年初,中国银行“原油宝”事件,就是 一个警钟。因此,金融衍生品业务对于我国商业银行风险的影响显得举足轻重,非常 值得研究。 本论文采用文献研究与实证探索相互有机结合的研究方法,研究了金融衍生品业 务对我国商业银行风险的影响:首先,通过深入的文献理论探索,理解金融衍生品的 基础知识,了解如何利用金融衍生品业务来影响商业银行风险的基本理论机制;其次, 对我国金融衍生品业务的发展历程和现状进行深入分析。同时,结合理论与现状,从 理论层面研究分析金融衍生品业务对商业银行风险的影响;再次,选取我国十二家数 据较为完善的商业银行作为样本,结合样本中2010年—2019年这10年期间的数据 和相关宏观经济指标数据,选取合适变量。建立空间面板数据模型、构建实证分析模 型,检验、分析金融衍生品对我国商业银行风险的影响,得出实证结果。 最后,结合理论、现状分析与实证分析得出研究结论,即金融衍生品业务会提高 我国商业银行的风险水平,加剧风险。同时,分析深层影响因素及可能导致该结论的 原因,并从宏观和微观两个层面,提出了金融衍生品业务在我国商业银行领域发展的 意见建议:(1)在宏观方面,健全相关法律法规及基础设施,健全监管制度体系, 加快推动利率、汇率制度改革;(2)在微观方面,加强商业银行内部的风险管理机 制,相机抉择的金融衍生品业务发展策略,建设专业人才队伍。 关键词:金融衍生品,商业银行,银行风险 中原工学院硕士学位论文 II Abstract In the 1970s, financial derivatives have begun to enter the human vision. Since its inception, financial derivatives have been widely sought after in the emerging business of commercial banks at that time because of their characteristics of hedging and hedging as well as investment profits. In 1997, China's commercial banks officially launched the financial derivatives business. In view of these characteristics of financial derivatives, in recent years, the financial derivatives business of China's commercial banks is getting more and more prosperous. However, because the current financial derivatives business is mostly trading with relatively large amount of investment margin, the leverage effect is significant, and once the default, commercial banks will face great risks. At the beginning of 2020, the "crude oil treasure" incident of the Bank of China is a wake-up call. Therefore, the impact of financial derivatives business on the risk of China's commercial banks is very important, it is worth studying. This paper uses literature research and empirical research methods of organic combination of each other, the financial derivatives business impact on China's commercial Banks' risk: first, through an in-depth literature theory to explore, to understand the basic knowledge of financial derivatives, to understand how to use financial derivatives business to influence the basic theory of commercial bank's risk mechanism; Second, the development of financial derivatives business in China and the status quo analysis. At the same time, combining with the theory and the status quo, from the aspect of theory research and analysis the influence of the financial derivatives business in commercial bank's risk; Again, select the dozen data is relatively perfect commercial bank as samples, combined with the sample of 2010-2019 during the 10 years of data and related macroeconomic indicators data, select appropriate variables. The spatial panel data model and empirical analysis model were established to test and analyze the impact of financial derivatives on the risks of commercial banks in China, and the empirical results were obtained. Finally, combining theory, current situation analysis and empirical analysis, the research conclusion is drawn that financial derivatives business will improve the risk level of commercial banks in China and aggravate the risk. At the same time, the deep analysis of influencing factors and may lead to the conclusion of reason, and from the macroscopic and microscopic two aspects, proposed the financial derivatives business in our country 中原工学院硕士学位论文 III commercial bank development in the field of opinion suggestion: (1) In terms of macroscopic, improve the relevant laws and regulations and infrastructure, a sound system of supervision system, accelerate the interest rate, exchange rate system reform; (2) In the micro aspect, strengthen the internal risk management mechanism of commercial banks, make discretionary decisions on the development strategy of financial derivatives business, and build a team of professional talents. Key words: Financial derivatives, Commercial banks, Bank risk 中原工学院硕士学位论文 I 目 录 摘要..................................................................................................................... I Abstract ................................................................................................................. II 第1章 绪 论.................................................................................................... 1 1.1研究背景及意义...................................................................................... 1 1.1.1研究背景....................................................................................... 1 1.1.2研究意义....................................................................................... 2 1.2国内外研究现状...................................................................................... 2 1.2.1国外研究现状............................................................................... 2 1.2.2国内研究现状............................................................................... 3 1.2.3文献评述....................................................................................... 4 1.3研究内容及方法...................................................................................... 5 1.3.1研究内容....................................................................................... 5 1.3.2研究方法....................................................................................... 5 1.4研究创新及不足...................................................................................... 6 1.4.1研究创新....................................................................................... 6 1.4.2研究不足....................................................................................... 6 第2章 研究理论基础.......................................................................................... 8 2.1金融衍生品概述...................................................................................... 8 2.1.1金融衍生品的定义....................................................................... 8 2.1.2金融衍生品的种类....................................................................... 8 2.1.3金融衍生品的特点....................................................................... 9 2.1.4金融衍生品的作用..................................................................... 10 2.2相关基础理论........................................................................................ 11 2.2.1信息不对称理论......................................................................... 11 2.2.2银行风险管理理论..................................................................... 12 2.2.3现代资产组合理论..................................................................... 13 2.2.4金融创新理论............................................................................. 13 第3章 我国金融衍生品业务发展历程及现状................................................ 15 3.1我国金融衍生品业务的发展历程........................................................ 15 3.2我国金融衍生品业务现状.................................................................... 16 3.2.1我国商业银行金融衍生品业务交易规模剧增......................... 17