中国利率市场化进程中的银行风险管理

华中科技大学博士学位论文中国利率市场化进程中的银行风险管理姓名：田华臣申请学位级别：博士专业：西方经济学指导教师：张宗成20050510IV1978VaRVaRVaRVaRVaRVaRVGrangerGDPGDPGDPVIVaRVIIAbstractNowadays,Chinaisinacriticalperiodoffinancialreform,inwhichinterestratemarketizationisoneofthemostimportantissues.Onerelativeissueishowtoguaranteethereformwhichinitiatedsince1978nottobeaffectedbysomemisactionsofinterestratemarketization,andguaranteethefinancialsystem,especiallybankssystemcansupporteconomygrowtheffectivelyandsustainablely.AsforbanksplaysaveryimportantroleinChina’sfinancialsystem,inordertokeepeconomicgrowthandfinancialreformrunningsmoothlysimultaneously,itispressingtostudythebanksriskmanagementintheprocessofinterestratemarketization.Accountforthereexistmanyliteraturesonbanksriskandsomecertainkindofthemareprovidedbypractitioners,masters,scholarsandacademicians,thisdissertationdoesnotintendtostudywidely,onlyselectsseveraltopicscloselyrelatingtocurrentsituationofChinabankssystemintheprocessofinterestratemarketizationforfurtherlystudy,theycoversomeinsidermicro-riskmanagementtechniquesandtheirinnovationapplyingssuchasvalueatrisk(VaR),andalsoincludethecommonproblemsconfrontedbybanks.Forexample,howtodealwithnon-performingloans(NPLs)?Howtopricingdepositsandloans?Howtomanagethecreditriskofindividualconsumerloans?Howtoadjustinterestrateanduseinterestratestrategycircumventrisk.Meanwhile,italsoincludesmacro-financialpolicies,especiallyinterestratepolicy’seffectonbanks,thepathoffinancialreformingandsoon.Baseonthesequestions,thisdissertationattempttostudythemcombinedbyqualitativeanalysisandquantitativeanalysis,ofcourse,interestrateisthemainthemetouniteallthesequestionsintoawhole.Therearemanymethodsandtechniquesaboutriskmanagement,andtheinnovationmementumisstrongyet.ThisdissertationdiscussessometypicmethodssuchasDuration,Gap,pointsouttheadvantagesandshortcomingsofthem.Accountsformostofthemareappliedincompanyclients,hovever,individualloansareemergingfastlyinChina,buttheriskmanagementrelatingtothemdoesn’tkeepthesamepacewiththeirgrowth,maybeitimpliestremendousriskascompanyloansaftersomecertaintime,soweelaboratelystudyVIIIthistopicasprecaution,theriskmanagementidealimpliedinwhichisthesametothecompanyloans.ValueatRiskmodelisausefultoolwidlyappliedinfinancialriskmanagement,ithasbeenusedwidelyfrominterestrateandexchangerateflucationtocreditrisk,portfoliomanagementandbankcapitalrequirements.Unfortunately,ConventionalValueatRisk(C-VaR)onlyaccountsforthelossprobabilityattheendpointofinvestmentperiod,andignoreslossprobabilitywithintheinvestmentperiod,butactually,thepricefluctuationsoffinancialassetsarepath-dependent,thisflawcausesunderestimationofVaR,so,thisdissertationappliesamodifiedmethod,whichincludesthelossprobabilitythatthepricefirstbreaksthelossthresholdvalueatanytimewithintheholdingperiodbutrecoversattheendoftheperiod,itisacontinuousmonitoringwayanditsVaRisbiggerthanconventionalVaR.Wedemonstratethetwomethodswithbankcapitalrequirements.Themispricingofdepositsandloansmayleadrisktobank,aswellascauseslosstodepositorsandloanborrowers,evenitcanhinderfinancialreform,becomesakindofsystemicrisk.Basedonthis,startsfromastrictassumption,thisdissertationformulatesabreak-evenformulatodeterminetheloanprice,thenloosesthepostulatesonebyoneandpopularizesittoconditionsofportfolioandprofits,formulatesaperfectformulaapplyingchinabanksincurrenttime,thenusesthedataofstate-ownedbankstosubstantiateit,whichputsforwardaclearlogicalthought.Furthermore,theauthoranalyzestheremaybesomeproblemsincurrentstrategyofmarketizationofinterestrate,suggeststhatmarketizationofinterestrateshouldbenefitallpartnersofthemarketandmarksuptwomarginsofinflationrate—depositinterestratesanddepositinterestrates—loaninterestrates.Corresponding,besidesthese,theloanpricesshouldbeaddedriskpremiumandpolicyfactorsmodificationspread.Monetarypolicymayleadtoriskandbringaboutrisktobanks,too.Accordingtopresentsituation,Theauthoranalyzestheparadoxoffixedforeignexchangerate,capitalflowandmonetarypolicydiscretioninChinaeconomy,pointsoutthedilemmabetweenmonetarypolicyandforeignexchangeincrementsonconditionofcontinuoustradesurplusandforeigncapitalpouringin,demonstratesthatsterilizedinterventionisatthecostofIXindependentmonetarypolicy.Furthermore,itpilesupfinancialriskandleadtomoneyshockorfinancialcrisis,whichsignifiesthesterilizationpolicycannotsustaininlong-run,soitispressingtoreformtheforeignexchangereserveandexchangeratesystem,andloosecapitalregulation.Anothertopiccolselyconnectwiththisisnon-performingloans.Usually,NPLsoriginatefromhigherGDPgrowthperiod,especiallyduringinflationandbubbleperiod,andexposeinlowergrowthperiodordeflationperiod.Theythathidecanfind,onconditionofconventionalmethodscann’tdealwithNPLseffectively,howtouseproperinflationtodealwiththemanddon’tleadnewrisktofinacialsystemsandbanks?Basedonthis,thedissertationdeviseseconomitricmodel,thenempiricallytestsandanalysesit,findsmoneysupplycausingGDPfluctuationinGrangercausuality,soitshowspastmoneysupplyishelpfultopredictfutureGDP,sothispapersuggestsproperlyincreasingmoneysupplyandusemoderatein