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密级：学校代码：10075分类号：学号：20110101经济学硕士学位论文学位申请人：孙伟娜指导教师：杨丽教授学位类别：经济学硕士学科专业：金融学授予单位：河北大学答辩日期：二〇一四年六月ClassifiedIndex:CODE:10075U.D.C:NO:20110101ADissertationfortheDegreeofM.EconomicsChina'sCommercialBanks'LiquidityRiskFactorsAnalysisCandidate:SunWeinaSupervisor:Prof.YangliAcademicDegreeAppliedfor:MasterofEconomicsSpecialty:FinanceUniversity:HebeiUniversityDataofOralexamination:June,2014摘要I摘要流动性风险因其具有不确定性强、冲击破坏力大的特点，被称为“商业银行最致命的风险”。特别是美国次级债风波及其后来引发的全球金融危机，再次警示了稳健的流动性风险管理和监管的重要性。长期以来，由于在我国国有银行体制下的政府隐性担保和整体性的流动性过剩,使得我国很少关注流动性风险的问题。随着政府保护逐渐减少直至退出，又由于我国商业银行自身激进的资产负债业务管理、不良资产膨胀、资产种类单一以及筹资渠道狭窄等问题的呈现，在不同程度上沉积了我国商业银行流动性风险。同时，随着金融市场创新技术的发展、跨业跨境活动的兴起以及商业银行融资的变化，我国银行流动性风险不断呈现出新的特点，流动性风险的生成和爆发机制更趋复杂。因此，深入剖析影响商业银行流动性风险因素和发展特点，关注追踪具体因素的性质及其对银行可持续发展的影响程度，对加强商业银行改进识别和度量风险工作和提高银行业流动性风险管理，具有重大的理论和现实意义。本文从国内外研究成果入手，阐释了商业银行流动性和流动性风险的含义，在强流动性风险监管的背景下，总结了后危机时代所面临的新的问题和特点。在此理论分析的基础上，结合我国的具体情况对我国商业银行的流动性风险的因素进行探讨。着重分析了我国商业银行流动性风险内生性和外生性的响因素，其中内生性因素包括银行的资产负债期限不匹配、产负债的构成不合理，外生因素包括长、央行的货币政策、金融市场的发育程度、利率变动和外汇占款与国际资本流动等因素。然后运用分析法对影响商业银行流动性风险的因素进行了权重的衡量，得出了流动性缺口、金融市场的成熟度、存款准备金率、主动负债、央行准备金和外汇占款的数量这些因素从重到轻的影响次序。最后，从微观两个层面提出了防范流动性风险的对策建议。在业银行自身的微观角度要调整资产结构以增强资产的流动性，推进主动负债业务发展；在外部环境的宏观监管方面要积极推进和发展多层次的金融市场，深化我国的外汇管理体制改革、善汇率形成的市场机制、进一步推进准备金制度改革和建立存款保险制度。关键词：商业银行流动性风险VAR模型资产证券化负债多样化AbstractIIAbstractLiquidityriskisuncertainbecauseofthestrongimpactdamageisgreatfeatureiscalledthemostdeadlyrisksofcommercialbanks.EspeciallytheU.S.subprimecrisisandthesubsequentglobalfinancialcrisistriggeredagainwarningtheimportanceofrobustliquidityriskmanagementandsupervision.Foralongtime,becauseinoursystemofgovernment-ownedbanksandtheimplicitguaranteetheintegrityofexcessliquidity,makingourlittleattentiontoliquidityriskissues.Asthegovernmentgraduallyreduceduntilitexitsprotection,butalsoduetoitsaggressivebusinessmanagementofourassetsandliabilitiesofcommercialbanks,non-performingassetinflation,showingasingleassetclassaswellasthenarrowchannelsoffinancingandotherissues,invaryingdegrees,China'scommercialbanksdepositedliquidityrisk.Meanwhile,withthedevelopmentofthefinancialmarketinnovationandtechnology,cross-industry,cross-borderactivitiesandchangesintheriseofcommercialbankfinancing,liquidityriskofbankscontinuetoshowthenewfeatures,andtheoutbreakofthemechanismsgeneratingliquidityriskmorecomplicated.Therefore,in-depthanalysisoftheimpactofcommercialbanksliquidityriskfactorsanddevelopmentcharacteristics,attentiontotrackthenatureandextentofthespecificfactorsthatimpactonsustainabledevelopmentbanks,tostrengthenthecommercialbankstoimproveriskidentificationandmeasurementofworkandimprovebankingliquidityriskmanagementIthasgreattheoreticalandpracticalsignificance.Inthispaper,startingfromtheresearchresultsathomeandabroad,toexplainthemeaningofthecommercialbanks'liquidityandliquidityrisk,liquidityriskunderstrongregulatorybackground,summarizesthecharacteristicsofnewproblemsandfacingthepost-crisisera.Onthebasisofthistheoreticalanalysis,combinedwithChina'sspecificconditionsofChina'scommercialbankstofactorliquidityriskarediscussed.Analyzestheliquidityofcommercialbanksinthecountryriskofendogenousandexogenousfactorsthataffectwhichendogenousfactorsincludethebank'sasset-liabilitymaturitymismatch,constituteunreasonablebalance,exogenousfactorsincludinglong,thecentralbank'smonetarypolicy,financialthedegreeofdevelopmentofthemarket,changesininterestratesandforeignexchangeandinternationalcapitalflowsandotherfactors.Thenanalysisofthefactorsinfluencingtheuseofcommercialbankliquidityriskweightsweremeasuredobtainedliquiditygap,thematurityoffinancialmarkets,thedepositreserveratio,activedebt,theAbstractIIIcentralbank'sforeignexchangereservesandthenumberoftheseheavytolightfactorsthatinfluencetheorder.Finally,fromthemicrolevelproposedliquidityriskpreventionsuggestions.Inthebankstoadjusttheirassetstructuremicroscopicviewtoenhancetheliquidityofassets,liabilitiesinitiativetopromotebusinessdevelopment;macro-regulatoryaspectsoftheMinistryoftheEnvironmentandtoactivelypromotethedevelopmentofmulti-levelfinancialmarketdeepeningofChina'sforeignexchangemanagementsystem,goodexchangerateformationmechanismofthemarketandfurtherpromotereformandtheestablishmentofthegolddepositdepositinsurancesystem.KeywordsCommercialbankLiquidityriskVARmodelAssetSecuritizationDiversificationofassetssecuritizeddebt目录IV目录第1章绪论······················································································································11.1研究背景及意义·····································································································11.2文献综述·················································································································21.2.1国外研究现状··································································································21.2.2国内研究现状··································································································61.3研究内容、方法及创新·························································································71.3.1研究的主要内容···················································