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论文编号：	12612
作者编号：	2120192921
上传时间：	2021/6/16 22:39:22
中文题目：	J银行同业业务流动性风险控制研究
英文题目：	Research on Liquidity Risk Control of J Interbank Business
指导老师：	李莉教授
中文关键字：	同业业务、流动性风险、风险控制
英文关键字：	interbank business, liquidity risk, risk control
中文摘要：	在中美贸易战、利率市场化、大数据金融科技飞速发展、区块链技术逐渐成熟、新冠肺炎疫情经济的背景下，日趋激烈的银行业竞争在我国愈发凸显。银行产品同质化严重，靠息差为主要营收的经营模式受到严重冲击，银行产品创新加速进展，各家银行都在寻找盈利模式的突破点。不少商业银行通过同业业务实现快速扩张和利润提升。近年来同业业务快速增长，业务模式不断创新。同业业务具有链条较长、规模较大、传染性强、扩散性强等特点，在业务创收的同时会带来流动性风险的危机。2013年的两次“钱荒”，2016年资产荒以及2019年“包商银行接管”事件均与同业业务流动性息息相关。尤其在2020年新冠肺炎疫情的爆发，央行多次降低存款准备金率，中小城商行手中留存现金较多，但是同业业务的流动性反而更加紧张了，究其原因主要有以下几点，首先同业业务资金占用期间较长，与现在短期充裕的资金不匹配；其次，在这期间中小银行倾向于保证充足的流动性，筹借成本会变向增加；再次信贷资产质量下滑，银行账面较低的不良率主要是非正常贷款通过借新还旧等方式在账面上显示为正常贷款，现在疫情期间本来经济下行期的正常贷款也变成了不良贷款，流动性缺口将会凸显；最后，实体企业很多货物在疫情下积压，扩大生产等需求降低，很多资金挤压到同业业务，一旦扩张，风险管理水平不能与之相匹配就会带来灾难性的损失。就J本身而言，近几年来同业业务发展速度较快，涉及的资金量较大、业务链条较长、交易频次较高，本身存在一定的流动性风险。在监管层面，由于同业业务不断创新，监管政策也在不断升级，2013年8号文对非标准化产品做出了明确的定义；2014年银保监会正式出台《关于规范金融机构同业业务的通知》、《关于规范商业银行同业业务治理的通知》；2018 年 7 月，中国银监会开始正式实施修订后的《商业银行流动性风险管理办法》。在此期间至今，同业业务在银保监会的工作会上经常会作出强调。 在此背景下，金融市场同业业务频繁出现资金链紧张等流动性风险问题，中小城商行J银行为了保证全行流动性，不断压缩同业资产和同业负债业务规模。针对同业信用收缩，流动性风险管理对同业业务影响日益凸显，研究同业业务流动性风险控制对J银行优化资金链条、提高风险管控能力具有重要的现实意义。 本文主要研究J银行同业业务流动性风险控制，通过对同业业务、同业业务流动性风险以及风险控制的全面介绍，以及2014年-2019年同业业务数据进行分析，对同业业务开展的现状、同业业务流动性现状以及流动性风险控制现状进行详尽剖析与总结，在资产管理理论、负债管理理论、全面风险管理理论的基础上，利用静态分析法、主成分分析法、流动性缺口分析法对其全面剖析。同时，从资金定价阶段、业务交易阶段和总结维护阶段进行问题汇总，并提出问题的改进方案，及改进方案的实施保障。最后对全文的研究内容进行了总结，对同业业务流动性风险控制进行了展望。
英文摘要：	In the context of the Sino-US trade war, interest rate liberalization, the rapid development of big data financial technology, the gradual maturity of blockchain technology, and the economy of the new crown pneumonia epidemic, increasingly fierce banking competition has become increasingly prominent in my country. The homogeneity of banking products is serious, the business model that relies on interest margin as the main revenue is severely impacted, the innovation of banking products is accelerating, and all banks are looking for breakthrough points in their profit models. Many commercial banks have achieved rapid expansion and increased profits through interbank business. In recent years, inter-bank business has grown rapidly, and business models have continued to innovate. Inter-bank business has the characteristics of long chain, large scale, strong contagion, and strong proliferation. It will bring liquidity risk crisis while generating revenue. The two "money shortages" in 2013, the asset shortage in 2016 and the "Baoshang Bank takeover" incident in 2019 are all closely related to the liquidity of interbank business. Especially in the outbreak of the new crown pneumonia epidemic in 2020, the central bank has repeatedly reduced the deposit reserve ratio, and small and medium-sized city commercial banks have more cash retained, but the liquidity of interbank business has become more tense. The main reasons are as follows. First, interbank The business capital occupation period is long, which does not match the current short-term abundant funds; secondly, during this period, small and medium-sized banks tend to ensure sufficient liquidity, and the cost of financing will increase; again, the quality of credit assets declines, and the bank has a lower book value. The rate is mainly because abnormal loans are shown as normal loans on the books by borrowing new and repaying the old. Now the normal loans during the economic downturn during the epidemic have also turned into non-performing loans, and the liquidity gap will be highlighted. Finally, there are many goods of physical enterprises. With the backlog in the epidemic and the reduced demand for expansion of production, a lot of funds are squeezed into the inter-bank business. Once the expansion, the risk management level cannot match it, it will bring catastrophic losses. As far as J itself is concerned, the inter-bank business has developed rapidly in recent years, involving a large amount of funds, a long business chain, and a high frequency of transactions, and there is a certain degree of liquidity risk. At the regulatory level, due to the continuous innovation of inter-bank business and the continuous upgrading of regulatory policies, Circular 8 of 2013 has clearly defined non-standardized products; in 2014, the China Banking and Insurance Regulatory Commission officially issued the “Notice on Regulating Inter-bank Business of Financial Institutions”, "Notice on Regulating the Governance of Commercial Banks' Interbank Business"; In July 2018, the China Banking Regulatory Commission began to formally implement the revised "Measures for the Management of Liquidity Risk of Commercial Banks." During this period until now, inter-bank business has often been emphasized at the work meeting of the China Banking and Insurance Regulatory Commission. In this context, the interbank business in the financial market frequently encounters liquidity risk issues such as tight capital chains. In order to ensure the liquidity of the entire bank, J Bank, a small and medium-sized city commercial bank, has continuously reduced the scale of interbank assets and interbank liabilities business. In response to the contraction of interbank credit, the impact of liquidity risk management on interbank business has become increasingly prominent. Research on liquidity risk control for interbank business has important practical significance for Bank J to optimize its capital chain and improve its risk management and control capabilities. This article mainly studies the liquidity risk control of J Bank's interbank business. Through a comprehensive introduction to interbank business, interbank business liquidity risk and risk control, and analysis of interbank business data from 2014 to 2019, the current status of interbank business development and interbank business are analyzed. Detailed analysis and summary of the current status of liquidity and liquidity risk control, based on asset management theory, liability management theory, and comprehensive risk management theory, using static analysis, principal component analysis, and liquidity gap analysis Profiling. At the same time, the problem is summarized from the fund pricing stage, business transaction stage and summary maintenance stage, and the improvement plan of the problem is proposed, and the implementation guarantee of the improvement plan. Finally, the research content of the full text is summarized, and the liquidity risk control of inter-bank business is prospected.
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