基于时变模型的商业银行流动性风险度量研究

流动性错配是流动性风险产生的根本,有必要从资产端和负债端研究和度量商业银行流动性风险。在综合外部因素的基础上,通过理论和实证两个层面构建我国商业银行流动性错配指数（LMI）,并对我国18家上市银行的流动性风险进行度量、识别和压力测试。研究表明：我国商业银行流动风险存在异质性和时变性,LMI的压力测试结果显示,不同类型银行压力测试和抵御风险的能力具有显著的异质性。为有效地管理和防范商业银行流动性风险,需要严格控制流动性错配程度,密切关注宏观经济形势和资产价格的波动,并建立相应的风险监测和管理机制。     

我国商业银行流动性风险的现状分析

流动性风险是商业银行面临的最核心风险。本文主要基于反映商业银行流动性状况的指标,对我国16家上市银行的流动性风险进行比较分析,研究发现,我国商业银行总体流动性达标,但有恶化趋势;与人民币相比,外币资产流动性较差;商业银行资产负债结构需要进一步优化。与国有商业银行和城商行相比,股份制银行流动性状况有待提高。     

我国上市商业银行的市场流动性风险测量

本文通过对流动性相关文献的回顾,提出了基于极差概念的流动性衡量指标,并选取5家上市商业银行作为样本来研究我国银行业的流动性风险问题,最终得出对流动性不足的金融机构进行干预是政府必然选择。     

我国上市商业银行的市场流动性风险测量

本文通过对流动性相关文献的回顾,提出了基于极差概念的流动性衡量指标,并选取5家上市商业银行作为样本来研究我国银行业的流动性风险问题,最终得出对流动性不足的金融机构进行干预是政府必然选择。     

商业银行资本、流动性监管与风险防范效力

商业银行资本与流动性监管是维持银行审慎经营的重要支柱。本文选取2007-2020年间我国36家上市银行的季度数据,实证检验资本与流动性监管对银行系统性风险的影响。结果表明,银行资本监管和流动性监管均能够有效降低系统性风险,但二者未能有效地发挥协同作用。银行监管约束的作用机制为降低银行风险承担与杠杆率,削弱个体银行与系统之间的关联,从而抑制系统性风险。在资本监管与不同流动性监管指标的组合下,净稳定融资比与资本监管政策的组合效果最为明显。随着监管压力阈值的增加,资本监管与流动性监管的协同效应表现不佳,监管约束对非系统重要性银行更加有效。本文的研究能够为优化审慎监管体系结构、维护金融体系稳定提供参考。     

我国商业银行流动性风险影响因素研究

“新常态”经济背景下,商业银行面临着诸多内外部因素冲击,监管机构和银行内部加对强商业银行流动性风险管理.本文利用面板数据模型以流动性比例为度量指标对我国16家上市商业银行2006-2016年半年度财务数据和部分宏观经济数据从不同角度进行实证研究,实证结果显示,内部影响整体上因素对商业银行流动性风险的影响要相对大于外部影响因素,广义货币供应量对流动性风险的影响呈显著正相关,央行货币政策对大型及中小型商业银行流动性风险影响是不同的.     

中国上市银行流动性风险综合评价

本文从商业银行流动性资产储备、负债结构和稳定性、期限结构错配程度、资产安全性和市场融资能力五个维度选择15个流动性风险的基础评价指标,基于因子分析法提炼出流动性风险的主要影响因素,构建商业银行流动性风险综合评价模型。论文以16家上市银行2011年的年末数据进行实证分析,结果显示:大型商业银行得益于市场地位的优势,总体流动性风险最低;城市商业银行由于积极进行流动性风险管理,总体流动性风险次之;其他股份制银行既缺少"主动负债"的优势,经营业绩也相对要差,因而流动性风险相对最高。     

流动性错配对银行系统性风险的影响

本文利用25家上市银行2009～2020年的股票交易数据,采用?CoVaR模型,测度了银行系统性风险。在此基础上,实证分析流动性错配对银行系统性风险的影响及其作用机制。研究发现：流动性错配显著提高了银行系统性风险,该结论在进行了一系列稳健性检验后依然成立。异质性分析表明,流动性错配对不同所有制银行的影响程度存在差异,当流动性错配程度提高时,非国有银行系统性风险随之上升,而国有银行没有显著变化。作用机制检验显示,流动性错配主要通过银行个体风险和关联度渠道,提升银行系统性风险水平。本文研究结果为监管部门优化流动性监管、防范银行系统性风险提供经验证据支撑。     

中国商业银行流动性风险特征分析——基于市场流动性和融资流动性视角

本文对金融危机以来中国商业银行资产方的市场流动性风险和负债方的融资流动性风险进行了详细分析,比较了大型商业银行、上市中小商业银行与非上市中小商业银行的市场流动风险与融资流动性风险差异.随着中国商业银行资产构成趋于复杂化,资产方市场流动性风险有所提高;同业负债的规模由于整体上处于一个增长趋势,导致负债方的融资流动性风险加大;大型商业银行整体的流动性风险水平相对其他两类商业银行较低.     

货币政策对流动性风险的影响——基于银行信贷行为视角

本文基于我国现实背景和《巴塞尔协议Ⅲ》,利用2008年至2017年间194家商业银行的相关数据,对我国银行净稳定资金率进行了度量,并在此基础上,检验了货币政策对我国商业银行流动性风险的影响,探究了其影响机理和传导渠道。研究表明:扩张型货币政策会提高商业银行的流动性风险;不同经济环境下,货币政策对流动性风险的影响存在差异但不具备异质性;不同类型的商业银行中,货币政策对流动性风险的影响不具有异质性;在货币政策对流动性风险的影响中,银行信贷行为是重要的传导渠道。因此,央行可基于货币政策对流动性风险的影响差异进行相机抉择;商业银行则要加强信贷规模和质量的管理,优化资产结构,通过弱化信贷渠道作用来降低货币政策对银行流动性风险的不良影响。     

商业银行经营中的流动性、流动性风险及其管理

一、流动性、流动性风险与银行挤兑 商业银行的流动性是指银行能够随时满足存款者的提现需求和借款者的正当贷款需求的能力.流动性是银行的生命线,也是整个金融体系及至整个经济体系对流动性需求的保证.盈利性和流动性是银行风险管理首先要解决的一对矛盾.如果银行持有大量的高流动性资产,当然可以减少流动性风险,但是同时也降低了银行的收益.     

Measuring Corpotate Liquidity Risk

This article presents the outline of a framework for evaluating liquidity risk (at the corporate level) with risk measures that are intuitive and economically relevant. In particular, the risk measures are designed explicitly to show the effectiveness of a company's risk management program in helping the firm to (1) avoid financial distress or default and (2) ensure its ability to undertake all strategic investments. For managers attempting to quantify liquidity risks, this paper proposes that the risk measures have two important features: One is to make the liquidity risk estimate depend on some measure of the firm's balance sheet strength, one that reflects the role of the balance sheet as a risk buffer. The second is to provide a useful estimate of the opportunity costs associated with a given liquidity shortage—one that reflects the value of the investment opportunities that liquidity problems could jeopardize. The author illustrates the application of the proposed risk measures with an example of a company evaluating a hedging strategy designed to accompany a substantial increase in its investment budget. Using the risk measures discussed in this paper, the author shows how to assess the effectiveness of a proposed hedge in terms of its expected ability to reduce costly cash shortfalls in scenarios in which the firm's debt capacity is also expected to be depleted.     

Liquidity and Credit Risk

We develop a structural bond valuation model to simultaneously capture liquidity and credit risk. Our model implies that renegotiation in financial distress is influenced by the illiquidity of the market for distressed debt. As default becomes more likely, the components of bond yield spreads attributable to illiquidity increase. When we consider finite maturity debt, we find decreasing and convex term structures of liquidity spreads. Using bond price data spanning 15 years, we find evidence of a positive correlation between the illiquidity and default components of yield spreads as well as support for downward‐sloping term structures of liquidity spreads.     

Portfolio Insurance with Liquidity Risk

This paper studies a portfolio insurance problem with liquidity risk. We consider an investor who wants to maximize the expected growth rate of wealth in a low liquid market. The investor can trade assets only at random times and his wealth must not fall below a predetermined floor. We find the optimal expected growth rate and an optimal strategy. The optimal strategy is closely related with a traditional constant proportion portfolio insurance strategy. Also we show that the same strategy maximizes the growth rate almost surely. Further we study the floor effect on the growth rate.     

商业银行流动性风险管理

美国次贷危机的爆发使之前宽松的资金环境突然间收紧,流动性风险迅速显现.一时间,流动性风险迅速成为了各家商业银行、其他金融机构和中央银行所面临的难题.     

Private Equity Performance and Liquidity Risk

Private equity has traditionally been thought to provide diversification benefits. However, these benefits may be lower than anticipated as we find that private equity suffers from significant exposure to the same liquidity risk factor as public equity and other alternative asset classes. The unconditional liquidity risk premium is about 3% annually and, in a four‐factor model, the inclusion of this liquidity risk premium reduces alpha to zero. In addition, we provide evidence that the link between private equity returns and overall market liquidity occurs via a funding liquidity channel.     

Municipal Bond Liquidity and Default Risk

This paper examines the pricing of municipal bonds. I use three distinct, complementary approaches to decompose municipal bond spreads into default and liquidity components, and find that default risk accounts for 74% to 84% of the average spread after adjusting for tax‐exempt status. The first approach estimates the liquidity component using transaction data, the second measures the default component with credit default swap data, and the third is a quasi‐natural experiment that estimates changes in default risk around pre‐refunding events. The price of default risk is high given the rare incidence of municipal default and implies a high risk premium.     

Liquidity Risk and Venture Capital Finance

This article provides theory and evidence in support of the proposition that venture capitalists adjust their investment decisions according to liquidity conditions on IPO exit markets. We refer to technological risk as a choice variable in terms of the characteristics of the entrepreneurial firm in which the venture capitalist invests, and liquidity risk as the current and expected future external exit market conditions. We show that in times of expected illiquidity of exit markets (high liquidity risk), venture capitalists invest proportionately more in new high-tech and early-stage projects (high technology risk) in order to postpone exit requirements. When exit markets are liquid, venture capitalists rush to exit by investing more in later-stage projects. We further provide complementary evidence that shows that conditions of low liquidity risk give rise to less syndication. Our theory and supporting empirical results facilitate a unifying theme that links related research on illiquidity in private equity.     

开放式基金的流动性风险与对策

2000年10月12日,在中国封闭式证券投资基金运作两年多之后,中国证监会正式推出<开放式证券投资基金试点办法>,这不仅大大促进了国内基金业向国际化发展的进程,同时也将成为中国基金市场发展史的重要里程碑.但是应当看到,开放式基金在我国是一个新事物,它能否正常运营并发挥它对市场应有的作用,还有很多问题值得探讨.其中,由于开放式基金允许自由赎回基金,因此对它的流动性风险的管理就显得尤为重要.