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论文编号：	6294
作者编号：	2120122882
上传时间：	2014/6/7 10:35:16
中文题目：	Y集团财务公司流动性风险计量方法与资产配置策略研究
英文题目：	The Study on Liquidity Risk Measurement Methods and Asset Allocation Strategy of Finance Company of Enterprise Group Y
指导老师：	薛有志
中文关键字：	财务公司，流动性风险计量，资产负债管理，流动性风险管理策略
英文关键字：	Finance Company; Liquidity risk measurement; Asset-liability management; Liquidity risk management strategy
中文摘要：	2013年，我国金融市场两度经历“钱荒”，表现为整体流动性紧张，银行间市场利率全线飙升，恐慌情绪蔓延。其本质是由金融机构资产负债期限错配导致的结构性流动性风险爆发。 流动性风险成因复杂，是金融机构所有风险的最终表现形式，如果管理不善，将导致金融机构破产，进而影响金融系统的稳定和安全。“钱荒”为金融机构和监管部门敲响了警钟，凸显了金融机构加强流动性风险管理的必要性和紧迫性。本文的研究对象企业集团财务公司在经营特征和资产负债结构方面与商业银行非常相似，由于受到来自监管部门、所在行业以及企业集团母公司的多重制约，又具备独特的流动性风险因素。企业集团财务公司是实体经济与金融系统间的重要桥梁和补充，其流动性风险管理的有效性有着更深刻的现实意义。 本文采用企业调查、文献研究、定性分析、比较分析、数量研究、实证分析等研究方法，参考商业银行在流动性风险管理中的先进方法和经验，结合商业银行流动性风险的相关监管要求，通过对Y集团财务公司流动性风险管理现状的分析和笔者在管理实践中的研究探索，提出计量与资产配置方法的不完善是公司流动性风险管理问题的根源，并对Y集团财务公司的流动性风险计量方法、资产配置的策略选择以及资产配置模型的构建提出了改进建议。 通过研究，本文认为：解决Y集团财务公司流动性风险管理问题的前提和基础是建立科学合理的流动性风险计量体系，并把流动性风险的管理策略融入日常资产配置的管理决策过程中；Y集团财务公司适用于资产与负债平衡的流动性风险管理策略，可以采用改进的现金流期限缺口分析法计量流动性风险，选用线性规划模型进行资产配置决策，并着重加强对资产项目的主动管理。本文的主要成果在于给出了Y集团财务公司流动性风险计量方法和资产配置模型的具体设计思路和操作流程，并结合实际经营数据对模型的使用进行了实证分析。 本文从具体的研究对象入手，针对流动性风险管理的关键环节进行较为集中和深入的研究，创新性地提出把商业银行流动性风险管理的先进工具移植到财务公司中，并提出了具有针对性、操作性的实施方案。
英文摘要：	In 2013, China's financial markets experienced “Money Shortage” twice, during which the overall liquidity squeeze, the inter-bank market interest rates rose across the board and panic spread. The phenomenon was the outbreak of structural liquidity risk in essence. It was caused by the maturity mismatch of financial institutions' balance. Liquidity risk is the ultimate manifestation of all the risks. It has complicated causes. In case of mismanagement, it will lead to bankruptcy of financial institutions, thereby affecting the stability and security of the financial system. “Money shortage” warned regulatory authorities and financial institutions about the necessity and urgency of strengthening liquidity risk management. Although the operational characteristics and structure of assets and liabilities of finance companies are similar to that of commercial banks, but due to multiple constraints from the regulatory authorities, the parent company and the industry it belongs to, it still faces unique liquidity risk factors. Finance company is an important bridge and complement between the real economy and the financial system. Thus the effectiveness of its liquidity risk management has a more profound practical significance. Research methods such as surveys, literature research, qualitative analysis, comparative analysis and empirical analysis are used in this study. Refer to commercial banks’ advanced methods, experience and relevant regulatory requirements in liquidity risk management, combined with the management practice of Y finance company, the study implied that imperfect measurement and asset allocation method is the source of problems, and proposed models along with recommendations for improvement. The study concluded that: 1. the premise and basis for solving the liquidity risk management problem of Y finance company is to establish a scientific and reasonable liquidity risk measurement system and integrated the liquidity risk management strategy into the management decisions of asset allocation; 2. Y finance company fitted for the assets and liabilities balanced liquidity risk management strategy. It can use the improved cash flow maturity gap method to measure liquidity risk, use linear programming model for asset allocation decision making procedures, and meanwhile focus on the proactive management of its assets. The main contribution of the study was the design of specific and operational models for Y finance company and conducted empirical analysis with operating data. The study focused on the key aspects of liquidity risk management, and transplanted the advanced tools of commercial banks' liquidity risk management to financial companies innovatively, and proposed operational implementation.
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