国有控股商业银行全面风险管理研究

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摘要

银行业是我国整个金融体系的核心，随着市场经济的发展和金融市场对外开放

程度的加深，在我国金融体系乃至整个经济体系的改革进程中银行业的改革和发

展都占据着不容忽视的地位。1979 年，当百废待新的中国步入改革开放的新时代

时，银行改革就正式提上了议事日程。当年，邓小平提出“必须把银行真正办成

银行”。经过 30 年的曲折历程，我国商业银行业改革方兴未艾，取得了一些成绩，

比如：我国四大国有控股商业银行都以上市为目标进行了股份制改造，更加注重

加强公司治理建设、制度体系的完善和提高风险管理能力。

目前，经济全球化趋势深入发展，我国和发达国家的金融市场联系更加紧密，

我国银行业的国际化程度日益提高。金融创新不断深化，综合经营、混业经营趋

势不断发展。自 2006 年加入世界贸易组织过渡期结束后，银行业竞争更加激烈，

商业银行的生存和发展受到了前所未有的冲击和挑战。

2008 年的全球金融危机，以及反复重演的希腊债务危机、爱尔兰债务危机、

西班牙债务危机等一系列欧债危机和 2011 年爆发的美债危机，充分说明了在全球

金融化背景下，商业银行可持续的经营和发展与其风险管理能力和水平有着密切

联系。在此国际国内的大环境下，增强商业银行的全面风险管理能力是当务之急，

商业银行应统一风险识别、风险分析、相关应对策略等过程，从源头上防范和控

制风险。本文按照“理论分析—案例分析—实证研究—比较研究—对策研究”的

总体思路，在分析风险管理的相关理论和全面风险管理理论内涵的基础上，对发

达国家的商业银行：花旗银行、汇丰银行、德意志银行和摩根大通银行的全面风

险管理文化、组织架构和具体的风险管理技术方法进行了案例研究。分析总结它

们在多年的实践中的经验教训，结合 Credit Risk+模型、VaR 法和标准法对四大国

有控股商业银行的信用风险、市场风险和操作风险进行评估，最后在前文的理论

分析、实证研究和差异分析基础上，提出相关的优化建议，为四大国有控股商业

银行的全面风险管理提供借鉴。全文正文包括五章，第一章是绪论，其余四章是

文章的主体：

首先，界定商业银行的风险类型，对风险管理理论的演变和发展加以系统论述，

重点阐述全面风险管理理论的内涵和理论依据。通过分析发现商业银行面临的主

要风险有信用风险、市场风险和操作风险，根据巴塞尔新资本协议，本文探讨的

就是以这三种风险管理为主的全面风险管理。

其次，本文对发达国家商业银行的全面风险管理进行了案例研究。并以国外知

名的几大商业银行为例，对其全面风险管理战略、原则和制度安排、组织架构和

风险管理能力（包括全面风险管理的技术和方法以及风险管理从业人员等）进行

了案例分析，较系统全面地展现了知名商业银行的全面风险管理状态。

再次，对我国国有控股商业银行的全面风险管理现状进行实证研究。并运用

Credit Risk+模型对四大银行的信用风险进行测量，运用 VaR 法对市场风险进行测

量，运用标准法对操作风险进行测量，发现四大商业银行还存在着信贷过于集中

在新兴产业，对利率变动的敏感性不强，股份制改革不彻底而使得操作风险加大

等问题。接着具体分析内外部环境的差异，给四大商业银行的风险管理工作提供

一些有益的参考。

最后，在比较差异的基础上，总结经验并提出相关的优化措施。本章第一小节

在前文分析的基础上，总结和挖掘国外商业银行的风险管理亮点，比如：花旗银

行的“风险敞口”管理模式，汇丰银行稳健的经营原则，德意志银行“集权式”

的风险管理和摩根大通银行创新型的风险量化模型与工具。第二小节以总体思路

为指导，结合第三的案例研究和第四章的实证分析，从改造外部金融环境到改进

全面风险管理的流程、技术与方法等方面，来为四大商业银行全面风险管理提出

相关的政策优化意见。

关键词：国有控股商业银行全面风险管理优化建议

ABSTRACT

The banking sector is the core of the financial system in China, so the reform and

development of banking industry are occupy an important position in China's financial

system and the whole economic system reform process. In 1979, China entered into a

new era of reform and opening up, the bank reform has officially put on the agenda.

That year, Deng Xiaoping put forward "The banks must be reformed and become really

accomplished banks."After 30 years, The reform of commercial banks has achieved

great success. China's State-Controlled commercial Banks pay more attention to

strengthen corporate management system of construction, perfect system and improve

risk management ability. They have already listed in the stock market.

At present, With the deepens of financial globalization, Domestic financial market

gets more close to the international financial market, the internationalization level of

some domestic financial apartments are increasing day by day. Financial innovation is

deepening, the comprehensive management, mixes management become more common.

After the translational period (in 2006) of joining the world trade organization, the

banking industry became more competitive, the survival and development of

commercial bank's were under the unprecedented impact and challenges.

In 2007, the U.S. subprime mortgage crisis caused the global financial crisis, as

well as the Greek debt crisis, the Irish debt crisis, the Spanish debt crisis and a series of

the debt crisis, what’s more, in 2011 there was a debt crisis in Amercia,they all showed

that the level of commercial bank risk management will be directly related to their own

survival and development under the international financial background. That is, how to

strengthen the overall risk management ability, control and guard against the risk, at the

same time resolve risk, is the theme of the current enterprise-wide risk management of

commercial banks.According to the train of thinking, this paper obeys the rule "theory

analysis-demonstration-comparison study-suggestion", first put forward the idea of the

Risk management, the stages of risk management of the connotation of enterprise-wide

risk management, take four famous overseas commercial Banks (Citi Bank、HSBC、

Deutsche Bank and Morgen chase Manhattan Bank) as examples, study on the risk

management culture, risk management organization structure and concrete risk

management method and summary the practice experience of the risk maangement.

Combined with the Credit Risk +model, VaR method and the Standard method to

analyse the Credit Risk, Market Risk and Operational Risk of four State-Controlled

commercial banks, in the last part we discuss the difference of enterprise-wide risk

management of the commercial banks at home and abroad，then we put forward some

Suggestions on how to optimize the enterprise-wide Risk management. The full text is

including four parts:

First of all, define the risk types, expounds the evolution and development of the

commercial banks’ risk management theories systematically, this paper focuses on

commercial bank enterprise-wide risk management theory connotation and theoretical

basis. Through the analysis we found that the main risks commercial Banks face are

Credit risk, Market risk and Operational risk, so this paper discussed the three risks

primarily.

Secondly, this paper analyse the current situation of foreign commercial bank's

risk management. And take some of the famous foreign commercial Banks as example,

including Citi Bank, HSBC , Deutsche Bank and Morgan chase Manhattan Bank. Make

empirical research on the strategy of enterprise-wide risk management, the principle and

system of enterprise-wide risk management, the structure of enterprise risk management

and the enterprise-wide risk management abilitied (such as. advanced enterprise-wide

risk management techniques and methods, high quality risk management employees,

etc).Showed each big commercial bank’s enterprise-wide risk management mode

comprensivly.

Thirdly, this paper analysed the present enterprise-wide risk management situation

of the State-Controlled commercial Banks in our country. We use some measurement

models,such as Credit Risk +model to estimate the Credit Risk, using VaR Method to

measure the Market Risk, and apply Standard Method into the measurement of

Operation Risk. We can see China's four big State-Controlled commercial bank's

enterprise-wide risk management situation directly, and also there is a large gap between

the levels of the enterprise-wide risk management of the commercial banks at home and

abroad.

Finally, we make a summary of the above analysis and proposed some optimize

proposals to the State-Controlled commercial banks’ enterprise-wide risk management.

This chapter is first summing up the above text and mining beneficial experience of the

four foreign commercial banks enterprise-wide risk management process, such as: Citi

Bank’s "risk exposure" management mode, HSBC’s prudent business principles,

Deutsche Bank’s "centralized" risk management and Jpmorgan chase Bank’s

quantification models and innovative tools in risk management. Then take the general

thought as a guide, combined with the empirical analysis in chapter three and chapter

four, put forward some suggetions on how to optimize the enterprise-wide risk

management of State-Controlled commercial banks, from improving external financial

environment to adapt some new enterprise-wide risk management processes,

technologies and methods.

Keywords: State-Controlled commercial bank, Wide Risk

Management, Recommendations

中文摘要

ABSTRACT

第一章绪论.....................................................................................................................1

§1.1 选题背景及意义...............................................................................................1

§1.2 国内外研究综述...............................................................................................2

§1.2.1 国外文献综述..........................................................................................2

§1.2.2 国内文献综述..........................................................................................5

§1.3 论文结构与研究方法.......................................................................................7

§1.4 本文的创新与不足...........................................................................................8

第二章商业银行风险及风险管理理论概述...............................................................10

§2.1 风险的概念界定及分类..................................................................................10

§2.2 商业银行风险管理..........................................................................................11

§2.2.1 商业银行风险管理的内涵....................................................................12

§2.2.2 商业银行风险管理的意义....................................................................12

§2.3 商业银行风险管理理论的演变与发展..........................................................12

§2.3.1 传统风险管理理论阶段........................................................................13

§2.3.2 全面风险管理理论阶段........................................................................14

第三章国外商业银行全面风险管理研究...................................................................19

§3.1 国外商业银行风险管理概况..........................................................................19

§3.2 国外商业银行全面风险管理研究..................................................................21

§3.2.1 花旗银行................................................................................................21

§3.2.2 汇丰银行................................................................................................25

§3.2.3 德意志银行............................................................................................27

§3.2.4 摩根大通银行........................................................................................31

第四章国有控股商业银行全面风险管理实证研究...................................................34

§4.1 四大国有控股商业银行风险管理现状..........................................................34

§4.1.1 运用 Credit Risk+模型衡量信用风险 ...................................................34

§4.1.2 运用 VaR 法衡量市场风险 ...................................................................40

§4.1.3 运用标准法衡量操作风险....................................................................43

§4.2 国有控股商业银行和国外商业银行全面风险管理的差异分析..................45

§4.2.1 外部差异................................................................................................45

§4.2.2 内部差异................................................................................................46

第五章国有控股商业银行全面风险管理的优化建议...............................................48

§5.1 国外商业银行全面风险管理的先进经验借鉴..............................................48

§5.2 国内商业银行全面风险管理的优化建议......................................................49

§5.2.1 外部环境优化建议................................................................................50

§5.2.2 内部环境优化建议................................................................................50

参考文献...................................................................................................................55

在读期间公开发表的论文和承担科研项目及取得成果.............................................59

致谢...............................................................................................................................60

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摘要：

摘要银行业是我国整个金融体系的核心，随着市场经济的发展和金融市场对外开放程度的加深，在我国金融体系乃至整个经济体系的改革进程中银行业的改革和发展都占据着不容忽视的地位。1979年，当百废待新的中国步入改革开放的新时代时，银行改革就正式提上了议事日程。当年，邓小平提出“必须把银行真正办成银行”。经过30年的曲折历程，我国商业银行业改革方兴未艾，取得了一些成绩，比如：我国四大国有控股商业银行都以上市为目标进行了股份制改造，更加注重加强公司治理建设、制度体系的完善和提高风险管理能力。目前，经济全球化趋势深入发展，我国和发达国家的金融市场联系更加紧密，我国银行业的国际化程度日益提高。金融创新不断深化，...

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