本文選題：商業(yè)銀行 + 流動性風險��； 參考：《山西財經大學》2017年碩士論文

【摘要】：流動性風險的影響在2008年的次貸危機(例如貝爾斯登和雷曼兄弟的失敗)和1998年美國對沖基金事件中都顯而易見。金融危機暴露了許多銀行,包括美國的大型銀行機構持有的可用流動性資產不足,同時也反映出這些銀行現(xiàn)有資本要求的顯著缺點。當銀行的無擔保借款能力受到嚴重限制時,銀行可能會出現(xiàn)重大的價值損失,甚至違約,并且需要在非流動的二級市場上通過其資產組合在短期內產生現(xiàn)金。針對2008年金融危機中大型銀行機構流動性不足的問題,巴塞爾委員會在巴塞爾協(xié)議中補充了兩個監(jiān)管標準:流動性覆蓋率(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量流動資產,以保證其能在持續(xù)一個月的嚴重壓力情況下生存,進而得到短期恢復。NSFR則根據(jù)所需的穩(wěn)定資金數(shù)額設定穩(wěn)定資金的可用數(shù)額,避免銀行對短期批發(fā)融資的過度依賴。很顯然,巴塞爾委員會未將銀行的資本充足率和流動性風險度量結合在一個概念框架中。這樣做的主要原因是認為這兩者不能很好地融合。原因在于:首先資本充足率的設置是靜態(tài)的,不能很好對應流動性風險的動態(tài)特征和其他動態(tài)因素;其次,雖然一家銀行能夠承受流動性風險的能力與其資本及能夠吸收損失的金額相關,資本充足的銀行在危機時期也可能沒有足夠的流動性資產可供出售。但是由于資本要求和經濟資本在銀行內是重要的管理控制工具,同時也是金融世界的信號工具,因此有必要針對流動性風險的某些概念調整標準資本充足率框架,將這兩個概念結合在一起進行研究�；谝陨舷敕�,在Acerbi和Scandolo(2008)等人觀點的啟發(fā)下,本文提供一個數(shù)學框架將經濟資本引入對流動性風險的度量中。通過使用流動性成本的概念來作為銀行在資產負債表水平缺乏流動性的量化,從而得出在資產和負債角度定義的流動性調整風險度量。當前國內對于商業(yè)銀行流動性風險的研究使用類似于對股票收益率波動的流動性調整方法,指標通常選擇上市銀行的股票價格,但是由于商業(yè)銀行經營性質的特殊性,股票價值不能夠很好地代表銀行自身資產價值。與之不同,本文從資產負債表的角度來對風險進行刻畫,并通過流動性需求函數(shù)的概念內化融資風險,從而能夠很好地捕捉商業(yè)銀行內在流動性風險的特征。同時,根據(jù)提出的流動性調整風險度量的數(shù)學模型,本文進行了模型在半現(xiàn)實經濟環(huán)境下的數(shù)學例證。具體計算過程中,銀行的資本損失作為混合變量,并使用信用風險,市場風險和操作風險的邊際風險模型來描述銀行的融資風險。在使用Copula擬合聯(lián)合模型之后,進行了經濟資本(EC)的具體計算。本文的提出的方法可能是銀行管理者和監(jiān)管機構管理流動性風險的有用工具,同時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.
【學位授予單位】：山西財經大學
【學位級別】：碩士
【學位授予年份】：2017
【分類號】：F832.33

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