【作者】 赵伟；

【导师】 唐吉平；

【作者基本信息】 浙江大学 ， 项目管理， 2014， 硕士

【摘要】 伴随中国金融市场开放程度的不断提高、金融创新的步伐加快,商业银行面临的金融风险与日俱增,其所带来的问题也越来越受到人们的关注与重视。我国银行业目前的风险管理水平与国际大银行先进的风险管理相比还有较大的差距,提高我国商业银行的风险管理水平、及早化解、防范和控制金融风险,是当前我国商业银行面临并亟需解决的问题。由于我国商业银行内部绩效考评机制设计缺陷、从业人员职位升迁与业绩挂钩、银行风险经营管理理念滞后以及事后责任追究惩罚制度不健全等原因,使得当前我国商业银行道德风险表现日益突出。而从国际范围看,金融行业道德风险的频发与巨大的金融风险不无关系,如巴林银行的倒闭、“次贷危机”等。因此着眼于我国商业银行道德风险的研究,对于降低银行业的风险、有效进行金融监管意义重大。本文在分析了前人文献资料的基础上,采用定性与定量结合的方法对我国商业银行道德风险的表现形式、成因及风险大小的度量进行了系统的阐述。具体工作如下：首先,界定了商业银行道德风险的内涵及分类,从委托代理、不完备契约理论角度阐述商业银行道德风险存在的可能性：其次,归纳总结了我国商业银行道德风险的具体表现形式及不良影响,发现道德风险的存在放大了银行业的总风险,是个危险的急需解决的问题；再次,进一步应用委托代理理论分析了道德风险形成的原因,指出其存在的根源,同时也对我国商业银行道德风险存在的特殊性进行了阐释；第四,采用定量分析的方法从定量的角度进一步研究了三种情况即“到期只清收部分贷款”、“贷款展期”、“贷新还旧”下,道德风险的存在都会给银行带来更为巨大的损失；最后,针对商业银行道德风险的现状,提出了适合我国商业银行降低道德风险的具体策略。本论文的主要创新之处在于考虑到我国经济体制的特殊性,探讨了商业银行道德风险在我国产生可能性及具体表现；同时,基于银行经理人隐藏行动的视角建立了一个我国商业银行道德风险存在根源的定量模型,应用该模型量化分析了银行道德风险产生的原因之一。由于国内金融及银行业经营相关数据资料大都属于商业秘密,因此数据资料的欠缺使得本文理论模型无法通过实证研究进行检验,是本文的不足与缺憾。更多还原

【Abstract】 With the continuously improvement of the openness of China’s financial market, and acceleration of the pace of financial innovation, commercial banks are facing increasing financial risks, from which the problems are getting more and more people’s attention. There is still a large gap between China’s risk management level and other countries’. And it is really an urgent problem for the commercial banks to improve risk management standards, to resolve and to prevent and control the financial risks as soon as possible.In China’s commercial banks, there are designation flaws on internal staff performance appraisal mechanism and staff members’promotion is linked to performance. The banks’ risk management philosophy still lags behind and the subsequent punitive accountability system is not perfect. All of these made the current China’s commercial banks’ moral hazard become increasingly prominent. From the point of international scope, the moral hazard in financial sectors is related to financial risks, such as the collapse of Barings Bank, the "subprime crisis" and so on. Therefore, to focus on moral hazard studies is significant not only to reducing the risk of the banking sector, but also to effectively regulating the finance.Based on the analysis of the previous literature and the combined methods of quantitative analysis and qualitative diagnosis, this article elaborates the manifestations of moral hazard, causes and risk measurement of China’s commercial banks. Specific work is as follows:Firstly, it defines the connotation and classification of moral risk in commercial banks, and elaborates the possibility of the existence of moral risk in commercial banks from the point of view of the principal-agent theory and incomplete contract theory; Secondly, summarized the concrete manifestations and adverse effects of moral hazard in China’s commercial banks, and found that the existence of moral hazard enlarged the total risk of the banking sector, which is a dangerous and urgent problems; thirdly, with application of principal-agent theory, the article analyzes the formation reasons of moral hazard, indicates the source of its existence, and interprets particularity of our Commercial Bank’s moral hazard; Fourthly, By using the method of quantitative analysis, and from the quantitative point of view, the article further studies that the existence of moral hazard will bring the bank much huge losses on these three cases,"clear to close only part of the loan maturity","loan extension","loan-new-old ",; Finally, on the status of commercial banks, the article proposes specific strategies to reduce moral hazard risk for China’s commercial banks.The main innovation of this paper is to take into account the special nature of our economic system, and discusses the possibility of moral hazard in our generation and the specific performance in commercial banks; while based upon hidden action of the bank managers, the paper created a quantitative model of moral hazard’s root in Commercial Banks, and quantitatively analyzes one of the causes of moral hazard.As most of the domestic financial and banking operations relevant data are commercial secrets, this theoretical model can not be tested through empirical research, which makes this paper inadequate and deficient.更多还原