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MBA毕业论文_城商行影子银行业务风险管理研究DOC

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中国的影子银行兴起于 2005 年,它缓解了中小企业融资难的问题。但由于 监管不到位,逐渐积累了系统性风险。目前,商业银行内部的影子银行业务在我 国影子银行体系中占比最大,尤其是不具备规模、所有权等优势的城商行,影子 银行业务创新比大型国有银行更为激进,但其业务扩张速度与风险控制水平并不 匹配。因此,本文研究的城商行影子银行业务风险对提高城商行风险管理水平和 竞争力以及维护金融系统稳定性具有重要的现实意义与理论意义。 本文运用了银行风险管理和金融监管的相关理论,遵循风险管理的基本程 序,依照“风险识别—风险度量—风险评价—风险处理”这一思路,对城商行的 影子银行业务风险(表外理财、委托贷款、同业业务)进行研究。文章以城商行 的自身发展现状和其影子银行业务的特点为基础,围绕信用风险、流动性风险和 监管套利风险设计了三级风险评价指标体系和等级判断标准,并选择以三家发展 水平不同的城商行为样本,同时,考虑到 2015—2017 年的业务具有一致性,选 择以这三年为一阶段进行实证分析。 为了更好地为我国城商行在影子银行业务的风险管理提供指导,根据实证分 析结果,本文对城商行影子银行业务的风险处理提出几点合理化建议,如:加强 影子银行业务风险防控体系,完善影子银行业务授信审批和信用评级制度等。此 外,本文从监管部门视角提出了将影子银行纳入宏观审慎监管框架、稳步推进金 融创新和充分规范影子银行信息披露的政策建议,为监管部门制定影子银行风险 监管机制提供了必要依据,促进城商行进行全面风险管理和可持续发展。 关键词:影子银行;城商行;风险管理;等级评价iii ABSTRACT China's shadow banking emerged in 2005, which eased the financing difficulties of SMEs. However, due to insufficient supervision, a lot of risks have been accumulated. At present, the shadow banking business of commercial banks accounts for the largest proportion, especially the city commercial banks, which do not have the advantages of scale and ownership, are more radical than the large state-owned banks, but the speed of business expansion does not match the level of risk control. Therefore, the shadow banking business risk of the city commercial banks studied in this paper has important practical and theoretical significance for improving the risk management level and competitiveness of the city commercial banks and maintaining the stability of the financial system. Based on the theory of bank risk management and financial supervision, following the basic procedure of risk management, and in accordance with the idea of risk identification-risk measurement-risk evaluation-risk treatment, this paper studies the risks of shadow banking business (off-balance sheet financing, entrusted loans, interbank business) of city commercial banks.Based on the development status of city commercial banks and the characteristics of their shadow banking business, this paper designs a three-level risk evaluation index system and grading criteria around credit risk, liquidity risk and regulatory arbitrage risk, and chooses three samples of city commercial banks with different levels of development. At the same time, Considering the consistency of shadow banking business from 2015 to 2017, this paper chooses the three years as a stage for empirical analysis. In order to provide better guidance for the risk management of city commercial banks in shadow banking business , this paper puts forward several rationalization suggestions, such as strengthening the risk prevention and control system of shadow banking business, improving the credit approval and credit rating system of shadow banking business, etc. In addition, from the perspective of regulatory authorities, this paper puts forward some policy suggestions on integrating shadow banking into the macro-prudential regulatory framework, steadily promoting financial innovation and fully regulating the information disclosure of shadow banking, which provides the necessary basis for regulatory authorities to formulate risk regulatory mechanism and promote the comprehensive risk management and sustainable development of urban commercial banks. Key Words:Shadow banking,City commercial banks,Risk management, Grade evaluationiv 目 录 独创性声明..........................................................i 关于论文使用授权的说明..............................................i 中 文 摘要........................................................ii ABSTRACT..........................................................iii 1. 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 .................................................1 1.2 国内外理论研究综述 ............................................2 1.2.1 国外理论研究综述 .........................................2 1.2.2 国内理论研究综述 .........................................4 1.2.3 国内外理论研究总结 .......................................8 1.3 研究思路和研究内容 ............................................8 1.3.1 研究思路 .................................................8 1.3.2 研究内容 .................................................9 1.4 研究方法和创新点 .............................................10 1.4.1 研究方法 ................................................10 1.4.2 创新点 ..................................................10 1.5 本章小结 .....................................................11 2.相关概念界定和理论基础...........................................12 2.1 相关概念界定 .................................................12 2.1.1 城商行的概念 ............................................12 2.1.2 我国影子银行的相关概念界定 ..............................12 2.2 相关理论基础.................................................14 2.2.1 商业银行风险管理理论 ....................................14 2.2.2 风险管理的基本程序 ......................................15 2.2.3 金融监管框架 ............................................16 2.2.4 风险评价方法 ............................................17 2.3 本章小结 .....................................................21 3. 城商行影子银行业务概况及风险分析................................22 3.1 城商行影子银行业务发展现状 ...................................22 3.1.1 城商行发展概述 ..........................................22 3.1.2 城商行主要的影子银行业务 ................................22 3.2 城商行影子银行业务的风险识别及成因分析 .......................24 3.2.1 城商行影子银行业务典型风险事件 ..........................24 3.2.2 城商行影子银行业务的风险识别............................24 3.2.3 城商行影子银行业务存在的风险成因分析 ....................26 3.3 本章小结 .....................................................27 4. 城商行影子银行业务风险评价指标体系的构建........................28 4.1 构建影子银行业务风险评价指标体系 .............................28 4.1.1 指标体系构建原则 ........................................28v 4.1.2 风险评价指标的获取 ......................................29 4.1.3 风险评价指标体系的构建 ..................................31 4.2 确定风险指标的评分细则及划分风险等级 .........................32 4.2.1 确定具体指标的评分细则 ..................................32 4.2.2 计算综合得分并划分风险等级 ..............................34 4.3 本章小结 .....................................................34 5. 城商行影子银行业务风险实证研究..................................35 5.1 实证对象选取 .................................................35 5.1.1 样本选择依据 ............................................35 5.1.2 实证银行介绍 ............................................36 5.2 风险等级度量 .................................................36 5.2.1 计算指标权重 ............................................36 5.2.2 计算指标得分 ............................................39 5.3 评价结果分析 .................................................43 5.3.1 总体风险评价 ............................................43 5.3.2 信用风险评价 ............................................44 5.3.3 流动性风险评价 ..........................................45 5.3.4 监管套利风险评价 ........................................45 5.4 本章小结.....................................................46 6.城商行影子银行业务的风险管理建议.................................47 6.1 城商行影子银行业务的风险处理建议 ...........................47 6.1.1 信用风险处理建议 ........................................47 6.1.2 流动性风险处理建议 ......................................48 6.1.3 监管套利风险处理建议 ....................................48 6.2 加强影子银行金融监管的政策建议 ...............................49 6.2.1 将影子银行纳入宏观审慎监管框架 ..........................49 6.2.2 稳步促进金融产品创新 ....................................49 6.2.3 充分规范影子银行信息披露制度 ............................50 6.3 本章小结 .....................................................50 7. 研究结论与展望..................................................51 7.1 研究结论.....................................................51 7.2 研究展望.....................................................51