摘要
长期以来,在国家信用的坚强后盾下,我国商业银行流动性风险问题一直未引起人们的普遍关注。但随着金融体制由计划向市场的逐步转轨,我国商业银行在量上快速扩张的同时,在质上存在的诸多问题开始渐渐暴露出来,其中不良资产膨胀、经营管理不善、资产种类单一及筹资渠道狭窄等问题已在不同程度上加剧了我国商业银行流动性风险的沉积。反观我国商业银行流动性风险管理现状,虽然政府当局和金融机构已经采取多种措施来解决金融问题,化解金融风险,但是,我国商业银行流动性风险管理方面仍存在着很多不足。不仅银行外部经营环境有待改善,银行内控机制方面也待健全,商业银行的流动性风险管理还处在成长阶段。当今世界经济的全球化形势已经越来越明显,金融与经济的相互联系比以前任何时候都更加紧密,其相互作用与影响也更为深远。美国次贷危机引发的全球性金融危机的发生让我们看到开放经济下,汇率、国际资本流动等因素对一国经济金融的冲击是巨大的。我国作为一个发展中的经济大国,国内经济和金融环境受国际经济金融形势变化的影响程度必定会越来越深。尤其在当前我国入世面临外资金融机构的强大竞争和我国资本项目逐步放开的情况下,这种过程更有加速的可能。从长远看,培养有真正核心竞争力的金融机构是国家对商业银行进行改革的最终目标。尽管商业银行大量的不良资产、低资本充足率以及不合理的资产负债结构显而易见,但国家的信用担保使得商业银行并未发生实际的流动性风险,随着国家信用的退出,经济形势的变化,商业银行的流动性风险管理会变得越来越重要。
在研究逻辑上,本文的分析基于从理论到现实、从外部到内部、从问题到对策的思路而展开。在客观陈述当前事实的基础上,对我国商业银行流动性风险的潜在诱因做出了分析,在揭示商业银行流动性风险管理存在的诸多缺陷的情况下,结合开放经济给银行流动性风险管理带来的挑战,警示世人对我国商业银行流动性风险问题的关注,从而阐明应该强化我国商业银行流动性风险管理的道理所在,并给出了相应的对策建议。
本文的绪论部分首先介绍了选题背景及意义,然后在对商业银行流动性风险管理问题从各角度进行了历年来相关问题的研究综述后提出本文的研究思路和结构并且总结了本人在对该问题研究的创新与不足。接下来,从流动性风险管理的内涵及特征入手在确定流动性、流动性风险内涵以及巴塞尔协议对流动性风险的相关含义的基础上,分析本世纪爆发的金融风暴中全球商业银行风险管理的新特征,即第二章。第三章是对商业银行的流动性风险进行理论分析,该部分是本文分析商业银行流动性风险管理的理论基础。第四部分继前一章对商业银行的理论分析的基础上对商业银行流动性风险管理进行量化分析。第五部分力图从流动性风险管理的组织架构、流程架构和支撑架构个方面构造一个基于中国商业银行的流动性风险管理框架。第六部分从国际角度着眼,首先对各国不同时期不同金融环境下发生的金融危机及其应对解决的实践经验进行阐述,接着并且在准确理解新巴塞尔协议的前提下,对发达国家、新兴市场国家商业银行流动性风险管理的新经验进行总结并对分析国际商业银行流动性风险管理发展趋势进行深入的分析。第七部分,是本文的结论部分。全文对商业银行流动性风险管理从内涵到管理以及监管的阐述、计量和对比分析后,提炼出对于我国有借鉴意义的经验,提出我国进行商业银行流动性风险管理的举措。
In the long term, on the strong backing of national credit, the problem of liquidity risk in China's commercial banks has not been raised the issue of widespread concerns. However, with the gradual transition our financial system from planning status to marketing status, China's commercial banks have expanded their businesses in quantity rapidly, however in terms of quality, many problems have been gradually exposed as well, where the problems like the expansion of non-performing assets, poor management, simple asset types and narrow financing channels etc. have grown the deposition of liquidity risks in China's commercial banks. When look back on the present status of China's commercial banks to liquidity risk management, although the government and financial institutions have taken various measures to solve the financial problems and resolve financial risks, there are still many deficiencies in China's commercial bank liquidity risk management. Not only the external manage environment needs to be improved but also the internal control mechanism in commercial banks needs to be perfected, the liquidity risk management in commercial banks is still in the growing period. Today, the globalization of world economy has been increasingly clear, the linkages between finance and economy are far closer than before, as the result, the impacts of their interaction are more far-reaching, the global financial crisis derived from U.S. subprime-loan crisis show us that in the open economy, exchange rates, international capital flows and other factors can cause great impact on economy and finance. As a developing economic giant, the impact from international economic and financial situation change on China's domestic economic and financial environment will be deeper and deeper. This process may be accelerated, especially in the present situations that China's accession to the WTO is facing strong competition from foreign financial industries and our capital project is opening gradually. The long run, foster financial institutions with strong competition is the state's ultimate goal of commercial banks reform. Although it is obviously that commercial banks have a large number of non-performing assets, low capital adequacy ratio as well as improper structure of assets and liabilities, the state's credit guarantee business makes that no real liquidity risk has released. However, with the withdrawal of national credit, and changes in economic status, commercial banks the liquidity risk management will become increasingly important.
In the study logic, this dissertation based on the analysis from theory to reality, from external to internal, from the idea of questions to the countermeasures that initiated. After stating the current facts objectively, potential incentives to reveal commercial banks liquidity risk had have been analyzed, with the discover of deficiencies that exist in commercial bank liquidity management, combined with the challenge from liquidity management in open economy, I raise the warning of China's commercial banks liquidity risk concerns, thereby, clarify China's commercial banks should strengthen liquidity risk management, and gave the countermeasures and suggestions correspondingly.
In chapter one of this dissertation, I firstly introduced the reason and motivation that I chose to compose my dissertation, then after the literature review, I stated the innovation and dificiency I had during the composition of this dissertation. Then, chapter two begins with the congcepts and characters of the liquidity risk management, which was the second part of the dessertation. According to the concepts of liquitidy and liquidity risk, also the relative concept of liquidity risk that Basel II made, I analysed the new characters of global commercial banks risk management in this financial crisis. Chapter there of the artile is the theoretical approach on the liquidity risk in commercial banks, which is the theory base of liquidity risk management in commercial banks, In chapter four, basing on the theoretical analyse, I did the quantitative ananlyce on liquidity risk management of commercial bank. In the fifth part of this artcle, I tried to compose a liquidity risk management framework that suits for Chinese commercial banks from three aspects that are liquidity risk management organization structure, programn structure and supporting structure. In the sixth part, from the global point of view, I fistly stated the experiences of liquidity risk management in different period and different financial environment, then basing on Basel II, summarized new experiences of liquidity risk management in advanced countries and new market countries, and gave further analyce on the developing trend of liquidity risk managent of global commercial banks, from which, summerised experiences that benefits China. In the last chapter of this dissertation, basing on the previous analyces on the statement of concepts, measures and management methods, etc. of liquidity risk I gave the advices on building the liquidity risk management framework, and drew the conclusions relative to the reality in China.
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