商业银行流动性风险经济资本计量研究

发布时间：2018-06-26 11:38

本文选题：商业银行 + 流动性风险　；参考：《山西财经大学》2017年硕士论文

【摘要】：流动性风险的影响在2008年的次贷危机(例如贝尔斯登和雷曼兄弟的失败)和1998年美国对冲基金事件中都显而易见。金融危机暴露了许多银行,包括美国的大型银行机构持有的可用流动性资产不足,同时也反映出这些银行现有资本要求的显著缺点。当银行的无担保借款能力受到严重限制时,银行可能会出现重大的价值损失,甚至违约,并且需要在非流动的二级市场上通过其资产组合在短期内产生现金。针对2008年金融危机中大型银行机构流动性不足的问题,巴塞尔委员会在巴塞尔协议中补充了两个监管标准:流动性覆盖率(LCR)和净稳定融资比率(NSFR)。LCR旨在确保银行拥有足够的高质量流动资产,以保证其能在持续一个月的严重压力情况下生存,进而得到短期恢复。NSFR则根据所需的稳定资金数额设定稳定资金的可用数额,避免银行对短期批发融资的过度依赖。很显然,巴塞尔委员会未将银行的资本充足率和流动性风险度量结合在一个概念框架中。这样做的主要原因是认为这两者不能很好地融合。原因在于:首先资本充足率的设置是静态的,不能很好对应流动性风险的动态特征和其他动态因素;其次,虽然一家银行能够承受流动性风险的能力与其资本及能够吸收损失的金额相关,资本充足的银行在危机时期也可能没有足够的流动性资产可供出售。但是由于资本要求和经济资本在银行内是重要的管理控制工具,同时也是金融世界的信号工具,因此有必要针对流动性风险的某些概念调整标准资本充足率框架,将这两个概念结合在一起进行研究。基于以上想法,在Acerbi和Scandolo(2008)等人观点的启发下,本文提供一个数学框架将经济资本引入对流动性风险的度量中。通过使用流动性成本的概念来作为银行在资产负债表水平缺乏流动性的量化,从而得出在资产和负债角度定义的流动性调整风险度量。当前国内对于商业银行流动性风险的研究使用类似于对股票收益率波动的流动性调整方法,指标通常选择上市银行的股票价格,但是由于商业银行经营性质的特殊性,股票价值不能够很好地代表银行自身资产价值。与之不同,本文从资产负债表的角度来对风险进行刻画,并通过流动性需求函数的概念内化融资风险,从而能够很好地捕捉商业银行内在流动性风险的特征。同时,根据提出的流动性调整风险度量的数学模型,本文进行了模型在半现实经济环境下的数学例证。具体计算过程中,银行的资本损失作为混合变量,并使用信用风险,市场风险和操作风险的边际风险模型来描述银行的融资风险。在使用Copula拟合联合模型之后,进行了经济资本(EC)的具体计算。本文的提出的方法可能是银行管理者和监管机构管理流动性风险的有用工具,同时也能为今后的研究提供借鉴。
[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.
【学位授予单位】：山西财经大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.33

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