导　　师： 李长英

学科专业： 020204

授予学位： 博士

作　　者： ;

机构地区： 南开大学

摘　　要： 资产负债管理能力是商业银行经营能力的基础，由于商业银行对一国经济的重要性，因此不断提高资产负债管理能力是商业银行常新的主题。资产负债管理是商业银行为了达到其经营目标，对自身经营业务全方位全过程的管理，以实现安全性、流动性和盈利性的平衡，其核心是风险管理和价值创造。 自20世纪70年代以来，经济全球化的全面推进使得商业银行经营环境发生了根本性的变化，金融监管的放松导致金融创新的速度不断加快，金融衍生工具的广泛使用增加了市场的波动性，使商业银行的风险加大。为有效防范风险，做好资产负债管理，商业银行资产负债管理的内涵不断丰富，金融技术不断更新。但是金融危机仍然不时爆发，间隔时间愈来愈短，造成的损失愈来愈大，2007年次贷危机爆发后，使得全球经济从一个高增长低通胀的大稳健时期进入全面震荡、经济衰退时期，历时五年仍未摆脱，成为自20世纪30年代以来损失最严重影响最广的一次危机，欧美各大商业银行在本次危机中损失惨重，不少金融机构或破产或被收购，从而引起全球金融行业及监管机构对商业银行经营管理的反思，催生了巴塞尔协议Ⅲ的出台，资本约束进一步加强，初次在全球统一出台流动性约束指标。 我国商业银行能够在本次危机中避免损失过重，不是因为我国商业银行资产负债管理能力较强，而是由于我国金融市场开放程度低、金融监管较严、金融产品较少。危机前，我国正在推进巴塞尔Ⅱ协议的实施，在巴塞尔协议Ⅲ出台后，我国在一年内立即出台了中国版巴塞尔Ⅲ，自2012年1月1日起全面实施，中国银行业将面临比全球标准更严格的资本和流动性管制，传统根据专家评价法和简单资产负债比例管理再也不能满足中国商业银行面临的严峻形势。因此对商业银行建立流动性和负债约束下的资产负债管理优化模型就具有重要意义。 本文第一章首先对本课题研究的背景和意义进行阐述，综合归纳和总结了国内外研究成果，最后介绍了本文的研究思路、研究的主要内容及创新之处；第二章回顾了西方商业银行资产负债管理理论和策略的发展过程，为本文的研究搭建了理论基础；接着第三章对2007年金融危机产生的原因进行了深刻的分析，从而引出巴塞尔协议Ⅲ的变化及中国版巴塞尔协议Ⅲ具体标准出台的原因，分析了未来对商业银行资产负债管理的重大影响。 随后，论文第四章和第五章对商业银行资本约束和流动性进行了详细研究。在对流动性和资本约束的定义进行详细阐述后，论文对商业银行流动性和资本约束具体计量方法进行了评述，根据我国商业银行实际情况选择了适合的计量方法，建立了流动性和资本约束模型。 第六章在前文流动性和资本约束模型的基础上，采用线性规划模型，根据我国商业银行实际利润构成情况建立银行净收益最大化函数，最后构建流动性和资本双约束下的资产负债优化模型，并进行了实证研究；第七章对中国银行业如何进行资产负债管理的改革提出了政策建议。 文章最后对全文进行总结并对下一步研究进行了展望，在总结全文研究内容的基础上，反思了现有的不足及将来有待深入研究的方向。 As the asset liability management ability is the basis of the commercial banks’operating ability and due to the importance of the commercial banks to one country’seconomy, how to increase the asset liability management ability constantly is thealways-new topic for the commercial banks. The asset liability management is theall-encompassing and comprehensive business management conducted by thecommercial banks for their own business objectives, so as to balance the safety,liquidity and profitability. The core of the asset liability management is to control thefinancial risks and make value creation. The commercial banks’ business environment has undergone fundamentalchange with the economic globalization being pushed forward in all aspects since the1970s, which is displayed as that the financial innovation becomes fast with the loosefinancial regulation, the market volatility is exacerbated with the extensive usage offinancial derivative instruments, and the risks of the commercial banks are increased.As a result, the content of the asset liability management for the commercial banksbecomes richer and the financial technology is updated constantly. However, thefinancial crisis has erupted at times, with the time interval of the crisis shorter andshorter and the loss caused larger and larger. Since the subprime mortgage crisis in2007, the world economy has entered a period of comprehensive shake and economicrecession from the period of the Great Moderation with high growth rate and lowinflation rate. The subprime crisis has become the crisis with most serious losses andbroadest influence since1930s and even five years thereafter, the world still has notshrugged off the crisis. Under the crisis, heavy losses have been caused to the largecommercial banks in Europe and US, many financial institutions have either becomebankrupt or been acquired, which has caused the world financial industries andregulation authorities to rethink the commercial banks’ business management. Undersuch condition, the Basel Ⅲ was issued therefore. With the issue of Basel Ⅲ, thecapital constraint has been strengthened and the liquidity constraint index has been issued in the world for the first time. That the commercial banks of China have escaped serious loss in this crisis isnot because of high asset liability management ability but of the low financial marketopening, strict financial regulation and less financial products. We had been pushingto implement Basel II before the crisis and we have issued Chinese version of BaselⅢ within one year after the issue of Basel Ⅲ. The banks of China have encounteredcapital and liquidity regulation stricter than the world standard and the traditionalexpert assessment method and simple asset-liability ratio management can’t matchthe severe situation faced by the commercial banks of China with the Chinese versionof Basel Ⅲ implemented comprehensively on Jan1st of2012. Under such condition,to build asset and liability management optimal model under the dual restriction ofliquidity and capital for the commercial banks of China has great significance. In this paper, chapter1firstly states the topic’s background and significance,reviews the domestic and overseas research achievements, and introduces this paper’sthought, main content and innovation. Chapter2reviews the development of the assetliability management theories and tactics in western commercial banks, which foundstheoretical basis for this paper. Then chapter3makes deep analysis on why the2007subprime crisis was caused, consequently the change of Basel Ⅲ and the reasons ofissuing the Chinese version of Basel Ⅲ’s detailed standards are expressed and thegreat influence on the commercial banks’ asset and liability management in future isanalyzed. Later, in chapter4and chapter5, detailed research on the commercial banks’liquidity and capital constraint is made. The paper comments on the measuringmethods of the commercial banks’ liquidity and capital constraint, chooses propermeasuring methods based on the actual situations of the commercial banks in China,and builds the liquidity and capital constraint model after the paper makes detailedstatements on the definition of the liquidity and capital constraint. In chapter6, the bank’s maximum net profit function is built under the actualprofit composition of the commercial banks in China by means of the linearprogramming model and based on the aforesaid liquidity and capital constraint model,and then it concludes the asset and liability management optimal model under the dual restriction of liquidity and capital and empirical study is made on the assetliability management for the banks of China In chapter7, the policy proposals aremade on how to manage asset and liability of the banking of China are presented. In the end, the paper makes summary of the content and rethinks the shortageand the topic to be studied next.

关 键 词： 巴塞尔协议 资产负债管理 资本约束 流动性约束 优化模型

分 类 号： [F832.33]

领　　域： [经济管理]