I 摘要 近年来，商业银行资金业务以其经济资本占用较少、风险程度相对较低等优势受到商 业银行的青睐，同时各商业银行也通过资金业务寻求新的利润增长点。而农村商业银行资 金业务也于近几年不断发展，其在关注业务发展和经营的同时，也必须注重对风险的分析 和管控。2018年末SL农村商业银行资金业务规模占总资产的20.59%，资金业务在保障全 行流动性管理的基础上，是盈利的有力补充。 在这样的背景下，本文以SL农村商业银行资金业务为研究对象，站在本行资金业务的 角度，对其风险进行识别分析。本文首先从资金业务部门与规模、制度建设、业务流程方 面介绍了SL农村商业银行资金业务的实际现状，然后通过SL农村商业银行业务状况表、 资金业务明细表、交易对手明细及从业人员状况等第一手数据，逐一列示资金业务具体品 种或操作中可能存在的信用风险、市场风险、操作风险和流动性风险。本文将市场风险作 为不可分散的系统风险与其他风险进行区分，对市场风险进行量化估计，对不同类型的风 险，指出可能产生的影响，并分析风险防控中存在的问题，例如信用风险中的授信管理不 合理、市场风险中的止盈止损条款缺乏、操作风险中的应急演练问题、流动性风险中的特 殊时点流动性缺口过大等问题。最后，在对资金业务风险的识别和问题分析的基础上，对 不同类型风险中存在的防控不足，提出具有实际操作意义的防控建议。 本文立足于SL农村商业银行资金业务实际，从银行角度而非外部层面梳理分析其信用 风险、市场风险、操作风险和流动性风险，针对不同类型的风险分别提出了授信管理与评 级体系方面、市场风险条款和量化方面、人员建设与应急演练方面、资产负债特殊时点的 匹配与压力测试等方面的防控建议。本文希望通过对SL农村商业银行资金业务风险的研 究，探寻其风险防控行之有效、符合实际的办法，从而为资金业务健康持续地发展提供保 障。同时，也希望本文的研究能给其他规模相似的农村商业银行在应对资金业务风险时提 供一定的参考和帮助。 关键词：农村商业银行；资金业务；风险分析；防控 山东理工大学硕士学位论文 ABSTRACT II ABSTRACT In recent years, commercial banks' treasury business has been favored by commercial banks for its advantages such as less economic capital occupation and relatively low risk. At the same time, commercial banks are also seeking new profit growth points through treasury business. The treasury business of rural commercial banks has also been developing in recent years. While paying attention to business development and operation, rural commercial banks must also focus on risk analysis, prevention and control. At the end of 2018, the scale of SL rural commercial bank's capital business accounted for 20.59% of total assets. The capital business is a powerful supplement to profitability on the basis of ensuring the bank's liquidity management. Under this background, this paper takes SL rural commercial bank's capital business as the research object, and identifies and analyzes its risks from the perspective of the bank's capital business. This paper first introduces the actual status of SL rural commercial bank's capital business in terms of the department and scale, system construction, and business process. Then, through the first-hand data such as SL rural commercial bank's business status table, capital business schedule, transaction counterparty details and employee status, the paper lists the credit risk, market risk, operational risk and liquidity risk that may exist in specific types or operations of the capital business. This paper distinguishes market risk as a non-dispersible system risk from other risks, and quantifies the market risk. For different types of risks, the paper points out possible impacts and analyze problems in risk prevention and control, such as unreasonable credit management in credit risk, lack of stop-loss and stop-loss clauses in market risk, emergency drills in operational risk and the larger liquidity gap at a particular time in liquidity risk. Finally, on the basis of the identification and analysis of the risks of the capital business, we put forward practical prevention and control suggestions for the prevention and control deficiencies of different types of risks. Based on the reality of SL rural commercial bank's capital business, this paper combs and analyzes its credit risk, market risk, operational risk and liquidity risk from the perspective of the bank rather than the external level, and proposes some suggestions of the credit management and rating system, market risk terms and quantification, personnel construction and emergency drills, matching of assets and liabilities at special times, and stress testing. This paper hopes to explore the effective and practical methods of risk prevention and control of SL 山东理工大学硕士学位论文 ABSTRACT III rural commercial bank's capital business risk, so as to provide guarantee for the healthy and sustainable development of capital business. At the same time, the author also hopes that the research in this paper can provide some reference and help to other rural commercial banks of similar scale in dealing with capital business risks. Key words: Rural Commercial Bank; Capital Business; Risk Analysis; Prevention and Control 山东理工大学硕士学位论文 目录 IV 目录 摘要 ................................................................ I ABSTRACT ............................................................. II 目录 ................................................................. IV 第一章 绪论 ........................................................... 1 1.1研究背景与意义 ................................................... 1 1.1.1研究背景 ................................................... 1 1.1.2研究意义 ................................................... 1 1.2国内外文献综述 ................................................... 2 1.2.1国外相关研究 ............................................... 2 1.2.2国内相关研究 ............................................... 3 1.2.3研究述评 ................................................... 5 1.3研究内容与方法 ................................................... 6 1.3.1研究内容 ................................................... 6 1.3.2研究方法 ................................................... 7 第二章 商业银行资金业务及风险概述 ..................................... 8 2.1相关概念界定 ..................................................... 8 2.1.1商业银行资金业务界定 ........................................ 8 2.1.2商业银行风险含义 ............................................ 9 2.2商业银行资金业务风险类型 ......................................... 9 2.2.1信用风险 ................................................... 9 2.2.2市场风险 .................................................. 10 2.2.3操作风险 .................................................. 10 2.2.4流动性风险 ................................................ 11 2.3商业银行一般风险防控措施 ........................................ 11 2.3.1资本充足率与准备金 ......................................... 11 2.3.2资产运用分配 .............................................. 12 2.3.3组织构架和人员 ............................................ 12 2.3.4预警与监控机制 ............................................ 12 第三章 SL农村商业银行资金业务现状 .................................... 13 3.1SL农村商业银行简介 .............................................. 13 3.2SL农村商业银行资金业务现状 ...................................... 14 3.2.1资金业务部门与规模 ......................................... 14 3.2.2资金业务制度建设 ........................................... 15 3.2.3资金业务操作流程 ........................................... 16 第四章 SL农村商业银行资金业务风险分析 ................................. 19 4.1信用风险 ........................................................ 19 山东理工大学硕士学位论文 目录 V 4.1.1信用风险识别 .............................................. 19 4.1.2信用风险防控存在的问题分析 ................................. 23 4.2市场风险 ........................................................ 24 4.2.1市场风险识别 .............................................. 24 4.2.2市场风险估计 .............................................. 26 4.2.3市场风险防控存在的问题分析 ................................. 28 4.3操作风险 ....................................................... 28 4.3.1操作