| 流动性风险压力测试的理论与实践 |
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| 引用本文： | 朱元倩.流动性风险压力测试的理论与实践[J].金融评论,2012(2):96-103,126. |
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| 作者姓名： | 朱元倩 |
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| 作者单位： | 中国银行业监督管理委员会政策研究局 北京大学经济学院 |
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| 基金项目： | 教育部人文社会科学研究青年基金 |
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| 摘 要： | 本文围绕流动性风险的特殊性及其压力测试的关键要素,对微观机构进行流动性风险压力测试的理论和实践进行了总结,并探讨了巴塞尔III的流动性风险监管指标与流动性风险压力测试的关系,给出宏观流动性风险压力测试最新进展和发展趋势,为中国银行业实施流动性风险压力测试提供借鉴。
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| 关 键 词： | 系统性风险 流动性覆盖率 净稳定资金比例 |
Liquidity Risk Stress-testing:Theory and Practices |
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| ZHU Yuanqian.Liquidity Risk Stress-testing:Theory and Practices[J].Chinese Review of Financial Studies,2012(2):96-103,126. |
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| Authors: | ZHU Yuanqian |
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| Institution: | ZHU Yuanqian(China Banking Regulatory Commission,Beijing,100140,China) |
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| Abstract: | Based on the characteristic of liquidity risk and the key factors of stress-testing,the article summarizes the theoretical and empirical aspects of liquidity stress-testing for banks.It also introduces the macro liquidity stress-testing operated by financial regulators and analyzes the consistence between new Basel III regulatory indicators and the stress-testing of liquidity risk. |
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| Keywords: | Systemic Risk Liquidity Coverage Ratio Net Stable Funding Ratio |
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