【作者】 郭德维；

【导师】 詹原瑞；

【作者基本信息】 天津大学 ， 管理科学与工程， 2009， 博士

【摘要】 当前金融危机不仅造成世界经济的衰退、金融系统动荡，也证明了流动性泛滥给经济发展带来的巨大危害。这场以美国次贷危机引发的金融危机向银行的流动性风险度量和管理提出了新的挑战。巴塞尔银行监管委员会指出：流动性管理是银行最关键的任务。一家银行必须保持一定的流动性，否则即使在资本上有偿付力也会倒闭。自2007年我国银行业全面对外开放，被纳入全球化的竞争格局和游戏规则，不得不面对更为巨大的挑战。其中，流动性风险的度量与管理是最重要的一个方面。而我国银行在流动性风险管理的战略理念、方法手段和技术水平诸方面都非常落后，对于银行流动性风险的系统研究刚刚起步。所以，系统总结和归纳国际先进的流动性风险度量和管理理论，对我国银行的流动性风险进行系统和深入的研究，无疑具有非常重要的理论和现实意义。本文系统地讨论了目前银行流动性风险度量与管理的先进理论和研究成果，并采用理论与案例、实证研究相结合的方法，对我国银行的流动性风险度量与管理现状进行了研究，提出了改进建议。本文的创新有如下三点：1.利用翔实全面的最新数据，对我国银行的流动性风险进行了定量分析和实证研究，得到了有说服力的结论。使用多种流动性指标，通过纵向的历史比较和横向的指标分析，得出目前我国出现了一定程度的流动性过剩的结论。本文区分了宏观和微观层面的流动性概念，特别分析指出：目前我国的流动性过剩是一种宏观的货币现象，不代表微观上银行没有流动性风险。本文在大量数据支持下论证指出，我国银行在流动性过剩的表象下隐藏了潜在的流动性风险，从动态的角度看，这些不利因素可能转化为现实的流动性困境乃至危机，应引起足够重视。2.本文基于对比研究的方法，对国际金融危机前后，我国银行流动性的变化进行研究。发现国际金融危机之后银行流动性风险的变化规律。同时，本文分析了银行的资产质量、盈利能力与银行流动性风险的相互关系，并将贷款迁徙率这一动态指标引入到研究中。3.本文对流动性压力测试进行了案例研究，引述了上海银行实施流动性压力测试的情况，分析指出其在风险识别、压力情景设计、预测期间、运用模型等方面的关键缺陷，并从银行和监管机构两个层面提出了改进建议。更多还原

【Abstract】 The current financial crisis not only causes the decline of the world economicsand the turbulence of the financial system, also proves the excessive liquidity couldcause the huge harm for the economic development. This financial crisis whichevolved from the US sub-prime mortgage crisis has given new challenges to the bank’sliquidity risk measurement and management. The Basel Committee on BankingSupervision Pointed out that liquidity management is the most critical tasks in banking.A bank must maintain a certain degree of liquidity, otherwise will face the bankrupteven if with the solvency in capital.Since the full opening from 2007, China’s banking industry has been incorporatedinto the global competition and rules and facing greater challenges, among which, theliquidity risk measurement and management is the most important aspects. The conceptof liquidity risk management strategies, methods, means and technical levels in Chinabanks are lagging behind others. A systematic research on the bank liquidity risk is justat the starting point. Therefore, a systematic summary of the international advancedliquidity risk measurement and management theory is of great theoretical and practicalsignificance to research on Chinese banking liquidity risk systemically and thoroughly.This paper systematically discusses the advanced theory and research of currentbanking liquidity risk measurement and management in the method of theoretical,empirical and cases study. Have conducted the research to China Bank’s liquidity riskmeasure and the management, I put forward suggestions for improvement. The threeinnovation points in this paper are as follows:Using of detailed and accurate up-to-date data on China’s bankscomprehensively on liquidity risk analysis and quantitative empirical research anddraw the convincing conclusions. Using a variety of indicators of liquidity, through thehistory of vertical and horizontal analysis of the indicators, this paper draws theconclusions of the certain extent excess liquidity in China. This article hasdifferentiated the macroscopic and the microscopic concept of Liquidity, in particular,pointed out: At present our country’s excess liquidity is one kind of macroscopiccurrency phenomenon, which does not mean that there is no liquidity risk in banksmicroscopically. In this paper, a large amount of data in support of the argument that China’s banks have a potential liquidity risk under the appearance of excess liquidity.From the dynamic point of view, these negative factors may induce the lack of liquidityeven the mobility crisis, which should be paid sufficient attention.Comparing the liquidity before and after the international financial crisis thispaper has found the rule of intrinsic changes in banks. At the same time, this article hasanalyzed the correlation of bank assets quality, profit ability and the bank liquidity riskand introduced the loan migration rate into the research.The paper carried out case studies of the stress tests on liquidity. y quotingthe stress tests implementation of the Bank of Shanghai, the paper analyzed and pointedout the imperfections in the risk identification, stress scenarios design, forecast periodand the use of models, furthermore, put forward recommendations for improvementfrom both the banks and the supervision organizations respects.更多还原