资产价格冲击下商业银行流动性风险压力测试研究
发布时间：2018-12-23 13:15
【摘要】：在2008年国际金融危机爆发之后，流动性风险管理和监管受到国际上各个国家的高度重视。此次金融危机起源于美国次贷危机，凸显了资产价格波动对商业银行流动性风险的巨大影响。为了维护金融系统稳定，必须加强流动性风险管理。压力测试作为VaR模型的补充，随着它的出现并发展，银行或监管当局可以基于历史的、假定的情景进行银行的流动性风险分析，研究极端情景对银行可能造成的冲击，是银行流动性风险管理不可或缺的工具。因此本文通过构建银行资产价格波动与流动性风险之间的关系模型，并在此基础上建立流动性风险压力测试体系。 本文首先选取一年期贷款利率、上证指数、上海银行间同业拆放利率、法定存款准备金率等影响银行资产价格波动的因子与银行备付金率构建VAR模型，并通过协整检验、脉冲响应函数分析和方差分解分析研究资产价格波动对银行流动性风险的影响。研究结果表明，上证指数、法定存款准备金率对银行备付金率的影响非常大，同业拆放利率次之，贷款利率的影响最小；且上证指数和同业拆放率存在着显著的正向影响，存款准备金率和贷款利率存在着负向效应，但是贷款利率的影响是不显著的。 其次，本文选取协整方程作为压力测试模型，运用历史数据构建极端情景，研究上证指数、同业拆放利率和法定存款准备金率的极端波动对银行备付金率的影响。实证结果表明，在资产价格受冲击的情况下，银行的备付金率明显下降，甚至大部分出现负值的情况，，银行面临着严重的流动性危机。 基于前文的研究，文章对银行流动性风险管理提出了几点建议。一是拓宽融资渠道，减轻股票市场融资压力；二是合理控制存款准备金率的调整次数和调整时机；三是审慎评估其他风险对流动性风险的影响，实行全面风险管理；四是建立流动性风险压力测试制度。
[Abstract]:After the outbreak of the international financial crisis in 2008, liquidity risk management and regulation has been highly valued by all countries. The financial crisis originated from the subprime mortgage crisis in the United States, highlighting the huge impact of asset price fluctuations on the liquidity risk of commercial banks. In order to maintain the stability of the financial system, liquidity risk management must be strengthened. As a supplement to the VaR model, with the emergence and development of the stress test, banks or regulators can analyze the liquidity risk of banks based on historical, hypothetical scenarios, and study the possible impact of extreme scenarios on banks. It is an indispensable tool for liquidity risk management in banks. Therefore, this paper establishes the relationship model between bank asset price volatility and liquidity risk, and then establishes the liquidity risk stress test system. In this paper, the factors affecting the fluctuation of bank asset prices, such as one-year loan rate, Shanghai Stock Exchange Index, Shanghai Interbank offered rate and Statutory deposit reserve ratio, are selected to construct the VAR model, and the co-integration test is carried out. Impulse response function analysis and variance decomposition analysis are used to study the effect of asset price volatility on liquidity risk of banks. The results show that the Shanghai Stock Exchange Index and Statutory deposit reserve ratio have great influence on the reserve ratio of banks, the interbank offered rate is the second, and the loan interest rate is the least. Moreover, the Shanghai Stock Exchange Index and the interbank offered rate have significant positive effects, the reserve ratio and the loan interest rate have negative effects, but the impact of the loan interest rate is not significant. Secondly, this paper selects co-integration equation as the stress test model, using historical data to construct extreme scenarios, to study the impact of extreme volatility of Shanghai Stock Exchange Index, Interbank offered rate and Statutory deposit reserve ratio on the reserve ratio of banks. The empirical results show that under the condition of the impact of asset prices, the reserve ratio of banks is obviously decreased, even most of the cases of negative value, the banks are facing a serious liquidity crisis. Based on the previous research, this paper puts forward some suggestions on liquidity risk management of banks. One is to broaden the financing channels to reduce the financing pressure in the stock market; the other is to reasonably control the times and timing of the adjustment of the required reserve ratio; third, to carefully assess the impact of other risks on the liquidity risk and implement comprehensive risk management; Fourth, the establishment of liquidity risk stress testing system.
【学位授予单位】：湖南大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.33;F832.5;F224
[Abstract]:After the outbreak of the international financial crisis in 2008, liquidity risk management and regulation has been highly valued by all countries. The financial crisis originated from the subprime mortgage crisis in the United States, highlighting the huge impact of asset price fluctuations on the liquidity risk of commercial banks. In order to maintain the stability of the financial system, liquidity risk management must be strengthened. As a supplement to the VaR model, with the emergence and development of the stress test, banks or regulators can analyze the liquidity risk of banks based on historical, hypothetical scenarios, and study the possible impact of extreme scenarios on banks. It is an indispensable tool for liquidity risk management in banks. Therefore, this paper establishes the relationship model between bank asset price volatility and liquidity risk, and then establishes the liquidity risk stress test system. In this paper, the factors affecting the fluctuation of bank asset prices, such as one-year loan rate, Shanghai Stock Exchange Index, Shanghai Interbank offered rate and Statutory deposit reserve ratio, are selected to construct the VAR model, and the co-integration test is carried out. Impulse response function analysis and variance decomposition analysis are used to study the effect of asset price volatility on liquidity risk of banks. The results show that the Shanghai Stock Exchange Index and Statutory deposit reserve ratio have great influence on the reserve ratio of banks, the interbank offered rate is the second, and the loan interest rate is the least. Moreover, the Shanghai Stock Exchange Index and the interbank offered rate have significant positive effects, the reserve ratio and the loan interest rate have negative effects, but the impact of the loan interest rate is not significant. Secondly, this paper selects co-integration equation as the stress test model, using historical data to construct extreme scenarios, to study the impact of extreme volatility of Shanghai Stock Exchange Index, Interbank offered rate and Statutory deposit reserve ratio on the reserve ratio of banks. The empirical results show that under the condition of the impact of asset prices, the reserve ratio of banks is obviously decreased, even most of the cases of negative value, the banks are facing a serious liquidity crisis. Based on the previous research, this paper puts forward some suggestions on liquidity risk management of banks. One is to broaden the financing channels to reduce the financing pressure in the stock market; the other is to reasonably control the times and timing of the adjustment of the required reserve ratio; third, to carefully assess the impact of other risks on the liquidity risk and implement comprehensive risk management; Fourth, the establishment of liquidity risk stress testing system.
【学位授予单位】：湖南大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.33;F832.5;F224
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