【作者】 吴园园；

【导师】 刘锡良；

【作者基本信息】 西南财经大学 ， 金融学， 2008， 硕士

【摘要】 我国商业银行对流动性管理,包括流动性日常管理和流动性风险管理认识不足。商业银行流动性管理处于较低层次,一是因为缺乏银行破产清算等方面的相关法律法规,这样人们潜意识认为银行不会破产;二是长期以来国有商业银行承担着经济增长的宏观功能,因此人们总是将银行的命运与政府的支持联系在一起,认为政府会为银行买单,承担银行的所有风险,银行将永远不会倒闭,也不会发生流动性危机;三是我国是储蓄性社会的历史渊源,长期以来家庭居民源源不断的储蓄存款为商业银行提供了充足的流动性。这样,相对西方发达国家,我国商业银行的流动性管理就显得十分简单。一是指标过少,没有形成指标体系;二是忽视资产负债的需求预测;三是资产负债结构单一、以存贷款为主,期限匹配不甚合理等。2006年国际金融市场发展良好,中国虽然没有实行资本全流通,但受全球流动性充裕的影响,我国的金融市场总体运行活跃。人民币汇率弹性增强,升值预期较大。M2增长16.9%,金融机构人民币贷款增长15.1%、人民币存款增长16.8%;股票市场股权分置改革基本完成,新股恢复发行,市场交易规模大幅提升,全年融资规模达2,204亿元;债券市场的发行与成交规模呈现显著的快速增长势头,全年债券融资金额达到56,766亿元。这些都充分说明了我国民众投资欲望将快速增长,进而货币和资本市场将面临充裕的流动资金的“冲击”。此时,为防止投资过热与加大流动性管理,中国人民银行以及两次调整存贷款利率、三次提高存款准备金率、四次定向发行票据,希望以此减缓我国流动性过剩导致的CPI、楼市、股市的持续高速攀升。展望2007年,中国经济仍将继续高速增长,人民币升值预期继续攀高,资本市场继续深化发展;政府将继续采取紧缩性货币政策来抑制通货膨胀并加强对资本市场的宏观调控。流动性过剩问题将继续成为影响中国资本市场乃至整个国民经济稳定、健康、持续发展的关键。而对于商业银行这个特殊市场主体来说,如何保持合理的流动性头寸,保证资产负债的结构和期限的合理,应对客户的投资贷款需求,将成为考验我国商业银行的重大课题。因此,本文就商业商业银行如何进行流动性风险管理并保持一个合理的流动性头寸建立模型,进行分析。资产管理理论主要认为商业银行流动性强弱取决于商业银行资产的迅速变现能力,因此保持资产流动性的最好方法是持有可转换资产,尤其是政府债券、短期贷款、汇票、商业票据等。其主张商业银行应多持有短期流动性资产,来保证商业银行的流动性和安全性。但忽略了负债的作用,同时与商业商业银行盈利为目标的宗旨相背离,因为机会成本太高。负债管理理论强调以负债为主来保证商业银行的流动性头寸。基本思想是商业银行通过在金融市场上借入资金,特别是短期负债,来增加资金,满足商业银行清偿、贷款或其它投资需要。这样既增强了商业银行的主动性和灵活性,又实现了商业银行的负债结构合理化以及利润最大化。但该理论暗含了该商业银行在面临风险时能从市场上借入足够多的资金1,同时忽略了商业银行的流动性和安全性。针对资产管理、负债管理的优缺点,资产负债综合管理应运而生。该理论以资产负债表的各科目之间的“对称原则”为基础,通过计算资产和负债项目的成本和收益水平,以利润最大化为目标,对资产负债的存量和期限的对称关系进行替代配置,以调整资产与负债结构,实现优化配置,缓和商业商业银行流动性、盈利性和安全性三性之间的矛盾。资产负债综合管理理论强调对商业银行的资产负债进行全面管理,确保资产负债结构、存量和期限的合理性,使商业银行在储备流动性的同时能够从外部购入流动性,既增加资产盈利性又降低负债管理的风险性。并且,本文研究期间发现国内部分学者就商业商业银行的资产负债管理和股票市场的流动性做了一些实证研究,而对于商业商业银行流动性管理定量研究则稍显不足:一是国内大多数学者的研究都没有一个分析我国股份制商业商业银行流动性风险管理的系统性框架;二是国内大多学者都是泛泛而谈,提出一些流动性风险管理方法,并没有就这些方法和具体数据进行实证研究,检验其可行性和适用性;三是国内大多学者都仅列出模型或指出有最优解,却不曾解出最优解,或给出详细的数据说明;四是国内大多数学者或者是仅列出模型或者是理论分析商业银行流动性管理策略,没有把模型和股份制商业商业银行流动性日常及风险管理策略联系起来分析。因此,本文针对上述国内学者研究的不足之处,学习和借鉴国内外理论分析和实证研究成果,结合逻辑分析、定性分析和定量分析,以比较适用的现在广泛被业界证明和采用的资产负债综合管理理论为基础,结合最小成本论和流动性指示器法,来构建股份制商业商业银行保持合理的流动性风险头寸的线性规划模型。并利用线性规划LINGO软件编程求解模型,得到全局最优解。最后数据分析表明,此模型对满足假设条件的任何商业银行都适用,对商业商业银行的资产负债流动性风险管理有理论和实践作用,对开放式基金得流动性问题也有一定的借鉴作用。模型不但可以用于商业银行的资产负债结构优化管理保持合理的流动性头寸;而且还可以与商业银行的其他管理相结合,提高商业银行的总体管理水平和抗风险能力,有效防范流动性风险和其他风险。但是,由于相关假设和简化,模型适用条件教苛刻,有待进一步完善。本文结构如下:第一部分前言,包括选题背景和意义,及论文的主要研究思路和方法。第二部分文献综述,对国内外就流动性管理方面主要的研究和模型进行剖析。第三部分商业银行流动性管理模型——民生银行资产负债实证分析,根据第二部分的分析结论,选择主要研究手段——资产负债综合管理理论,建立一般性的商业银行资产负债头寸模型,以线性规划法为主,引入民生银行的具体数据,利用LINGO软件编程求解。根据求解结果来调整约束条件,以使模型更加优化,便于求解得到全局最优解。提出了值得探讨的商业银行流动性管理模型中存在的问题和改进的方向。第四部分结论分析提出策略,通过比较民生银行与股份制商业银行和原国有商业银行的相关流动性指标,在资产负债综合管理理论基础上,提出了对民生银行具有针对性的流动性管理策略。更多还原

【Abstract】 Commercial banks in China have the impercipient understanding of liquidity management, such as liquidity daily management and liquidity risk management. Liquidity management is still at a relatively low level. First, because of the lack of some relative laws and codes for the banks bankruptcy liquidation, these people subconsciously think banks would not go into bankruptcy. Second, the state-owned commercial banks are engaged in a macro-function of economic growth for a long time, so people always would put the fate of banks and the government’s support together. They think the government will pay the bill for the banks and assume all the risks. In this way, banks would never be closed down and still without liquidity crisis. Third, China is a savings society. Family members’plenty of savings deposits provide sufficient liquidity to commercial banks.Therefore, liquidity management for commercial banks in China is much easier than western developed countries. First, index is too little, so no formed index system. Second, neglect the demand forecasts for asset-liability. Third, the structure of asset-liability is simple, mainly are deposits and loans.The international financial markets have developed very well in 2006. Although China failed to implement the full circulation of capital, the general operation of the financial markets in China is active by the impact of abundant global liquidity. Flexibility for the exchange rate of RMB is increasing. The anticipated appreciation is larger. M2 increases 16.9%, the RMB loads in financial institutions increase 15.1%, the RMB deposits increase 16.8%, the innovation on share of stock equity in stock market is basically completed. New shares resume issuance. The size of trading in the market increases dramatically. Financing scale is about 2,204 billion all year round. All these have fully demonstrated that people’s investment desire is growing rapidly, currency and capital market which will face ample liquidity "effect". Nowadays, in order to prevent overheating in investment and enhance the liquidity management, People’s Bank of China adjusted deposit and loan interest rates twice, raise the deposit reserve ratio thrice, issue the directional notes four times. In this way, they hope to control the CPI, the property market and the stock market’s sustained rapid rise.Looking forward 2007, the Chinese economy will continue rising, the appreciation of the RMB is expected to continue climbing, capital market continues developing, the government will continue tightening the monetary policy to curb inflation and strengthening the macro-control of capital market. The problem of excess liquidity will continue to affect the development of the capital market in China and even the entire national economy. For commercial banks which are special market players, how to maintain a reasonable liquidity position, guarantee the structure of assets and liabilities and a reasonable deadline will be the major topic for commercial banks in China.Therefore, this article would analyze on how to conduct the liquidity risk management of commercial banks and maintain a reasonable modeling for liquidity position.Because the lack of researches in China, learning theory and research results all of the world and putting the logic analysis and quantitative analysis together are quite important. By means of combining the minimum cost of theory and liquidity indicators methods which based on the theory of integrated management of assets and liabilities to help joint-stock commercial banks to maintain a reasonable linear programming model for commercial liquidity risk position. Using linear programming LINGO software to solve the problem and get the optimal solution.Finally, the model is suitable for all commercial banks once they meet assumptions. It’s quite useful for commercial banks. Not only useful for optimal management of assets and liabilities, but still for a reasonable liquidity position and improvement of overall management level and ability to resist risks in commercial banks. However, because of relative assumptions are too many, the model needs to be improved.Structure of the paper as following:Part 1: Forward----- Background and significance of the topic, the main research ideas and methods. Part 2: Literature Review-----Analysis of the major research and model on liquidity management all around the world.Part 3: The model for liquidity management on commercial banks----- An empirical analysis of assets and liabilities of the CMBC. According to the Part 2, choosing the major research method----- the theory of integrated management of assets and liabilities, constructing linear programming model and putting Specific data from CMBC into the model. By using LINGO8.0 software to get the optimal solution. Proposed the problem and improvement direction for the liquidity management model of commercial banks.Part 4: Conclusion and strategy-----Comparing the liquidity indicators between the CMBC and joint-stock commercial banks and the former state-owned commercial banks. Raised a suitable liquidity management strategy for the CMBC based on the theory of integrated management of assets and liabilities.更多还原