【作者】 张力；

【导师】 王建宇；

【作者基本信息】 浙江大学 ， 政治经济学， 2011， 硕士

【摘要】 银行在我国金融体系中占据着不可动摇的地位,支撑着经济顺利运行。银行业的稳定直接关系到我国经济的命运。银行的风险与经营如影随行,随着金融化程度提高,银行的经营成功与否已不仅是个别银行自身的问题,更可能对其他有业务联系的银行施加影响。为保证我国经济的持续发展,我们必须降低银行业的风险。银行风险可通过信息渠道、外汇渠道、企业渠道、银行间借贷渠道等多种渠道传播。本文将从银行间同业拆借市场角度,分析各银行因相互借贷而产生风险的传染效应。首先,从理论上,本文将阐述银行风险的分类及其特征,观察银行风险与其他行业的差异,从微观和宏观两个层面分析银行风险的传染机制,分析银行体系不稳定的成因。然后,观察我国银行业存在的问题并论述对银行业的监管。最后,通过16家银行的同业拆借数据,用Matlab编程计算,得到风险头寸矩阵,再模拟单家银行经营失败对其他银行的影响。本文采用理论与实证结合的方法,对银行风险传染做了系统的分析。通过本文的研究,我们可以了解银行风险与银行间同业拆借市场的运行机理,为合理的控制银行系统性风险和加强银行监管提供适当的参考依据。更多还原

【Abstract】 Banks occupy an unshakable position in China financial system, which supporting the economy running smoothly. The stability of the banking sector is directly related to the fate of the China economy. Risk management in the banking business is essential, and with the increasing level of financial, banks’success have not been only their own problems, but associated with other banks with which they have some business dealings. To ensure sustained development in China, we must reduce the risk of the banking sector.Banking risk will spread through information channels, foreign channels, business channels, the inter-bank lending channels and so on. From the perspective of the inter-bank lending market, this paper analyzed the risk infection effect which caused by Inter-bank borrowing. Firstly, in theory, this paper described the classification and characteristics of banking risk, observed differences between banking and other industries, studied the transmission mechanisms of banking risk in both the micro and macro level, and found the causes of instability in the banking system. Then, we observed the problems in the banking sector and discussed the supervision in banking sector. Finally, using inter-bank lending data, this paper calculated the risk position matrix with the Matlab program, and simulated the impacts to other banks which caused by the bankruptcy of one individual bank.With the method combining theoretical analysis and empirical analysis, this paper made a systematic analysis to the banking risk infection. Through this study, we can understand the risk of banking system and the operation mechanism of the inter-bank market, and provided appropriate references for reasonable controlling banking systemic risk and strengthen banking supervision.更多还原