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论文编号：	2462
作者编号：	2220080653
上传时间：	2010/6/10 19:14:13
中文题目：	我国商业银行表外业务风险管理研究——基于巴塞尔系列协议框架下的探讨
英文题目：	OBSA Risk Management Research of China Commercial Bank——Discussion based Series Basel Agreement
指导老师：	齐寅峰
中文关键字：	中国商业银行;表外业务;风险管理
英文关键字：	China commercial bank;Off-balance-sheet activities;Risk management
中文摘要：	美国次贷危机于2007 年4 月爆发,由房地产市场蔓延到信贷市场,进而演变为全球性金融危机。 关于此次金融危机，追根溯源在于美国金融机构对于表外业务的过度开发和创新，并未坚持独立的风险判断,忽略了对风险的识别、计量过程，最终未对其伴随而来的风险加以有效控制与管理。 虽然我国商业银行受到此次金融危机的直接影响有限，但是及时总结经验教训会给未来我国银行表外业务风险管理方面带来有益的指导，避免重复历史的悲剧。 本文的研究对象是基于巴塞尔系列协议下我国商业银行和监管部门应该如何进行有效的表外业务风险管理。通过研究我国大型商业银行表外业务风险管理问题来综合考察与研究中国的商业银行以及整个银行业的表外业务发展问题。 鉴于我国大型商业银行将于2010年底起开始实施新资本协议的紧迫性，笔者希望通过对巴塞尔系列协议下商业银行风险管理理论的解读，采用比较分析方法，总结归纳法以及定量定性分析方法，对商业银行表外业务的风险管理进行系统的研究。首先本文阐述了研究背景和意义，并介绍了文章的结构安排和创新点。其次，介绍了表外业务的概念及分类和表外业务发展的必要性，并对银行表外业务风险类别进行了详细描述。同时介绍了巴塞尔协议框架的内容、新资本协议的创新点和局限性。再次，针对我国商业银行表外业务风险管理的现状描述，通过巴塞尔系列框架协议下商业银行风险管理理论的解读，从表外业务信用风险、表外业务市场风险、表外业务操作风险、银行外部监管四个方面进行充分剖析，在对于法国兴业银行进行案例分析的同时，借鉴西方商业银行以往的先进经验和管理理念，并结合我国现有国情，研究相应的风险管理措施，以期对我国商业银行未来的表外业务风险管理提出一些针对性的建议。最后，基于巴塞尔系列协议下，总结归纳出我国商业银行和监管当局都应加强表外业务风险管理的研究以提高风险管理能力。
英文摘要：	The U.S. sub-prime crisis which broke out in April 2007, spread from the real estate market to the credit market, and then evolved into a global financial crisis. When we tried to discover the root cause of this financial crisis, we found that when the U.S. financial institution developed and innovate the off-balance-sheet activities, they went too far away, and they didn’t adhere to independent risk analysis, they neglected risk analysis and calculation process, ultimately they didn’t control and manage the risk arising from such activities effectively which led to the financial crisis. Although the direct impact on China's commercial banks by the financial crisis is limited, we may avoid such historic tragedy if we could analysis and summarize the lessons learned from this financial crisis, and may bring us a useful guide on our future off-balance-sheet activity risk management. Whereas, the pressure of that China large commercial banks will implement new Capital Accord, the author hopes to systematically study and research the problems in OBSA of commercial banks through analysis the risk management theory of commercial banks under the series Basel Agreement by adopting comparative analysis method, summarizing conclusion method as well as quantitative analysis method and qualitative analysis method. Firstly, the paper describes the background and benefit of such analysis, and the structure and innovation points of this paper. Secondly, the paper further introduces the concept, class and importance of OBSA; in addition, it describes the risk category of OBSA in details. The paper provides the brief introduction about Basal II and its innovations and insufficiencies. Thirdly, based on the description for OBSA risk management status in Chinese commercial banks, the paper further analyses the risk management theory of commercial banks under series Basal Frame Agreement and analyses the risk management of OBSA through 4 aspects, which are credit risk, market risk, operation risk and external supervision of OBSA. The author hopes to provide some suitable suggestion for China commercial banks’ specific risk of future OBSA business by analysis of Societe Generale Bank’s case and the advance experience and management theory of Western commercial banks together with the specific condition of China. Finally, the author reaches the conclusion through the research of risk management of OBSA under series Basel Agreement
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