本文選題：商業(yè)銀行 + 流動(dòng)性風(fēng)險(xiǎn)��； 參考：《山西財(cái)經(jīng)大學(xué)》2017年碩士論文

【摘要】：流動(dòng)性風(fēng)險(xiǎn)的影響在2008年的次貸危機(jī)(例如貝爾斯登和雷曼兄弟的失敗)和1998年美國對(duì)沖基金事件中都顯而易見。金融危機(jī)暴露了許多銀行,包括美國的大型銀行機(jī)構(gòu)持有的可用流動(dòng)性資產(chǎn)不足,同時(shí)也反映出這些銀行現(xiàn)有資本要求的顯著缺點(diǎn)。當(dāng)銀行的無擔(dān)保借款能力受到嚴(yán)重限制時(shí),銀行可能會(huì)出現(xiàn)重大的價(jià)值損失,甚至違約,并且需要在非流動(dòng)的二級(jí)市場上通過其資產(chǎn)組合在短期內(nèi)產(chǎn)生現(xiàn)金。針對(duì)2008年金融危機(jī)中大型銀行機(jī)構(gòu)流動(dòng)性不足的問題,巴塞爾委員會(huì)在巴塞爾協(xié)議中補(bǔ)充了兩個(gè)監(jiān)管標(biāo)準(zhǔn):流動(dòng)性覆蓋率(LCR)和凈穩(wěn)定融資比率(NSFR)。LCR旨在確保銀行擁有足夠的高質(zhì)量流動(dòng)資產(chǎn),以保證其能在持續(xù)一個(gè)月的嚴(yán)重壓力情況下生存,進(jìn)而得到短期恢復(fù)。NSFR則根據(jù)所需的穩(wěn)定資金數(shù)額設(shè)定穩(wěn)定資金的可用數(shù)額,避免銀行對(duì)短期批發(fā)融資的過度依賴。很顯然,巴塞爾委員會(huì)未將銀行的資本充足率和流動(dòng)性風(fēng)險(xiǎn)度量結(jié)合在一個(gè)概念框架中。這樣做的主要原因是認(rèn)為這兩者不能很好地融合。原因在于:首先資本充足率的設(shè)置是靜態(tài)的,不能很好對(duì)應(yīng)流動(dòng)性風(fēng)險(xiǎn)的動(dòng)態(tài)特征和其他動(dòng)態(tài)因素;其次,雖然一家銀行能夠承受流動(dòng)性風(fēng)險(xiǎn)的能力與其資本及能夠吸收損失的金額相關(guān),資本充足的銀行在危機(jī)時(shí)期也可能沒有足夠的流動(dòng)性資產(chǎn)可供出售。但是由于資本要求和經(jīng)濟(jì)資本在銀行內(nèi)是重要的管理控制工具,同時(shí)也是金融世界的信號(hào)工具,因此有必要針對(duì)流動(dòng)性風(fēng)險(xiǎn)的某些概念調(diào)整標(biāo)準(zhǔn)資本充足率框架,將這兩個(gè)概念結(jié)合在一起進(jìn)行研究�；谝陨舷敕�,在Acerbi和Scandolo(2008)等人觀點(diǎn)的啟發(fā)下,本文提供一個(gè)數(shù)學(xué)框架將經(jīng)濟(jì)資本引入對(duì)流動(dòng)性風(fēng)險(xiǎn)的度量中。通過使用流動(dòng)性成本的概念來作為銀行在資產(chǎn)負(fù)債表水平缺乏流動(dòng)性的量化,從而得出在資產(chǎn)和負(fù)債角度定義的流動(dòng)性調(diào)整風(fēng)險(xiǎn)度量。當(dāng)前國內(nèi)對(duì)于商業(yè)銀行流動(dòng)性風(fēng)險(xiǎn)的研究使用類似于對(duì)股票收益率波動(dòng)的流動(dòng)性調(diào)整方法,指標(biāo)通常選擇上市銀行的股票價(jià)格,但是由于商業(yè)銀行經(jīng)營性質(zhì)的特殊性,股票價(jià)值不能夠很好地代表銀行自身資產(chǎn)價(jià)值。與之不同,本文從資產(chǎn)負(fù)債表的角度來對(duì)風(fēng)險(xiǎn)進(jìn)行刻畫,并通過流動(dòng)性需求函數(shù)的概念內(nèi)化融資風(fēng)險(xiǎn),從而能夠很好地捕捉商業(yè)銀行內(nèi)在流動(dòng)性風(fēng)險(xiǎn)的特征。同時(shí),根據(jù)提出的流動(dòng)性調(diào)整風(fēng)險(xiǎn)度量的數(shù)學(xué)模型,本文進(jìn)行了模型在半現(xiàn)實(shí)經(jīng)濟(jì)環(huán)境下的數(shù)學(xué)例證。具體計(jì)算過程中,銀行的資本損失作為混合變量,并使用信用風(fēng)險(xiǎn),市場風(fēng)險(xiǎn)和操作風(fēng)險(xiǎn)的邊際風(fēng)險(xiǎn)模型來描述銀行的融資風(fēng)險(xiǎn)。在使用Copula擬合聯(lián)合模型之后,進(jìn)行了經(jīng)濟(jì)資本(EC)的具體計(jì)算。本文的提出的方法可能是銀行管理者和監(jiān)管機(jī)構(gòu)管理流動(dòng)性風(fēng)險(xiǎn)的有用工具,同時(shí)也能為今后的研究提供借鑒。
[Abstract]:The impact of liquidity risk was evident in the subprime mortgage crisis of 2008 (such as the failures of Bear Stearns and Lehman Brothers) and the 1998 U.S. hedge fund event. The financial crisis exposed the shortage of liquid assets held by many banks, including large U.S. banks, and also reflected significant shortcomings in their existing capital requirements. When banks' ability to borrow unsecured is severely limited, banks may suffer significant loss of value, even default, and need to generate cash in the short term through their portfolios in illiquid secondary markets. In view of the lack of liquidity of large banking institutions during the 2008 financial crisis, The Basel Committee has added two regulatory criteria to the Basel Accord: liquidity coverage (LCR) and net stable financing ratio (NSFR). LCR is designed to ensure that banks have sufficient quality liquid assets. In order to ensure that it can survive under severe pressure for a month, and then get short-term recovery. NSFR sets the available amount of stable funds according to the amount of stable funds needed to avoid the excessive reliance of banks on short-term wholesale financing. It is clear that the Basel Committee does not combine the capital adequacy ratio and liquidity risk measurement of banks in a conceptual framework. The main reason for this is that the two are not well integrated. The reasons are: first, the capital adequacy ratio is static, which can not well correspond to the dynamic characteristics of liquidity risk and other dynamic factors; secondly, While a bank's ability to withstand liquidity risk is related to its capital and the amount of losses it can absorb, well-capitalised banks may not have enough liquid assets to sell in times of crisis. However, since capital requirements and economic capital are important management and control tools within banks, as well as signalling tools for the financial world, it is necessary to adjust the standard capital adequacy framework to certain concepts of liquidity risk. The two concepts are combined to study. Based on the above ideas and inspired by Acerbi and Scandolo (2008), this paper provides a mathematical framework to introduce economic capital into the measurement of liquidity risk. By using the concept of cost of liquidity as a quantification of banks' lack of liquidity at the balance sheet level, a liquidity adjustment risk measure defined in terms of assets and liabilities is obtained. The current domestic research on liquidity risk of commercial banks is similar to the liquidity adjustment method of the volatility of stock return. The index usually selects the stock price of listed banks, but because of the particularity of commercial banks' management nature, The value of shares does not represent the value of the bank's own assets. In contrast, this paper describes the risk from the perspective of balance sheet, and internalizes the financing risk through the concept of liquidity demand function, which can capture the characteristics of the inherent liquidity risk of commercial banks. At the same time, according to the proposed mathematical model of liquidity adjustment risk measurement, this paper gives a mathematical example of the model in the semi-real economy environment. In the concrete calculation process, the bank's capital loss is taken as the mixed variable, and the marginal risk model of credit risk, market risk and operational risk is used to describe the bank's financing risk. After using Copula to fit the joint model, the specific calculation of economic capital (EC) is carried out. The method proposed in this paper may be a useful tool for bank managers and regulators to manage liquidity risk, and can also provide reference for future research.
【學(xué)位授予單位】：山西財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類號(hào)】：F832.33

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