摘要
流动性风险是银行面临的最根本风险。压力测试是针对尾部风险的一种定量分析方法,被巴塞尔委员会指定为识别、计量和控制流动性风险的重要工具,并在美国次贷危机爆发后愈发得到重视。首先,参考巴塞尔委员会提出的"流动性覆盖率(LCR)"指标计算方法,以巴塞尔委员会对于标准流动性冲击定义的7个情景作为情景假设基础,基于现金流缺口分析模型构建了流动性风险压力测试模型;然后,以南京银行为例,以2012年末时点数据为基础模拟未来在可能的压力情景下该银行的流动性风险状况;最后,根据压力测试结果,对该银行资产负债结构的合理性进行分析,并提出模型进一步优化的建议。
Liquidity risk is a basic risk for commercial banks. Stress testing is a quantitative analysis method against tail risks. Basel Committee considers that it is an important tool to identify measure and control liquidity risks. And the subprime mortgage crisis has illustrated the importance of stress testing. This paper used the Basel Committee＇s ＂liquidity coverage ratio （LCR） ＂ index calculation methods as a reference, and based on the Basel Committee defined seven standard liquidity shock as scenario assumptions, and established a cash flow gap analysis model for model construction to forecast liquidity risks. And then take Nanjing Bank of China for example, according to the stress testing results, analyzed the structure of asset and liabil- ity. Finally, puts forward some related proposals and predicts the future research focus.
出处
《审计与经济研究》
CSSCI
北大核心
2014年第3期104-112,共9页
Journal of Audit & Economics
关键词
流动性风险
压力测试
商业银行
风险测算
风险控制
流动性分析
银行风险管理
liquidity risks
stress testing
commercial banks
risk forecasts
risks control
liquidity analysis
banking risksmanagement
