主成分分析法对商业银行流动性风险的测度

摘要流动性对商业银行至关重要，保持合适的流动性可以维持商业银行经营的安全性与效益性的作用不可估量。在我国的商业银行流动性管理中，基于有同业市场和央行做后盾，商业银行流动性风险往往未能引起人们足够的重视。然而，随着着我国金融市场逐步扩大与开放，银行的市场化改革不断深化，国家信用正在逐步退出，商业银行的流动性压力逐渐显现出来。所以，加强流动性风险管理对商业银行来说非常必要，流动性风险管理的首要一步就是对流动性风险水平进行测度。目前来说有很多指标都可以对商业银行流动性风险状况的进行评价，可是传统的多指标衡量对流动性风险综合情况无法呈现出直观的结果。对此，本文将运用主成分分析法，并以浦发银行为研究对象，对其2003年至2014年的12个流动性风险评价指标进行分析，最终对其12年间的综合流动性风险变动趋势进行整理。结果表明：浦发银行流动性风险在2011年之前不断下降，但是2011年至2014年其流动性风险又出现了上升状况，本文对其产生原因进行了分析。最后，本文对增强浦发银行的流动性风险管理给出了一些简明的建议。42666

毕业论文关键词：商业银行；流动性风险；主成分分析

Based on principal component analysis of commercial Banks liquidity risk measure

Abstract

Liquidity is the life of the commercial banks and maintaining adequate liquidity for commercial banks is vital to the safety and effectiveness of bank manage. In China's commercial banks' liquidity management, because of the interbank market and the central bank, commercial bank liquidity risk often failed to cause enough attention. However, with the gradually expand and open financial market in China, the market-oriented reform of bank continued to deepen, national credit is phasing out and commercial bank liquidity's pressure is getting bigger. Therefore, commercial Banks must strengthen liquidity risk management, and to measure the level of liquidity risk is the first step in liquidity management. There are many index which can evaluate the liquidity risk situation of commercial bank, but the traditional multi index measure cannot directly see the liquidity risk situation. In this regard, this article will use the method of principal component analysis and choose Shanghai Pudong development bank as the research object, where analyzing the 12 liquidity risk indexes from the 2003 to 2014 and finishing the 12 years overall liquidity risk trends. The results show that: Shanghai Pudong development bank's liquidity declined before 2011, but from 2011 to 2014 its liquidity increased. The reasons are analyzed. At last, this paper gives some simple advice on strengthening the liquidity risk management of Shanghai Pudong Development Bank.

Key Words: Commercial Banks；Liquidity risk；Principal Component Analy

摘要 Ⅰ

Abstract Ⅱ

目录 Ⅲ

一、前言 1

（一）选题背景 1

（二）研究目的和意义 2

二、流动性风险的理论概述 2

（一）相关概念的界定 2

（二）流动性风险监管指标 3

三、商业银行流动性风险实证研究设计 5

（一）研究方法及样本 5

（二）流动性风险评价指标的选取 7

（三）浦发银行流动性风险指标主成分分析过程主成分分析法对商业银行流动性风险的测度:http://www.751com.cn/kuaiji/lunwen_43173.html