商业银行流动性压力测试应用与实证分析

银监会自2007年年底加大了对商业银行的流动性风险管理力度,并于2008年年初下发了《商业银行压力测试指引》,要求各商业银行开展流动性压力测试。流动性压力测试有助于商业银行预测在市场最严酷的情况下自身的流动性风险承受能力,并通过主动改变管理策略防范流动性风险。本文系统介绍了流动性风险管理与压力测试及两者间的关系,并以某商业银行为对象进行了流动性压力测试的实证分析,最后对流动性压力测试的推广运用提出了一些政策建议。

Empirical Analysis on the Application of Liquidity Stress Test in Commercial Banks

In recent years, several deposit reserve ratio hikes have incurred uncertainty accumulation and significant risks in liquidity of banking system. The CBRC has strengthened supervision over liquidity risks and enclosed relevant regulations named < guidelines on commercial banks stress test>, which demand commercial banks to carry out liquidity stress test. This test helps commercial banks evaluate its sustainability on liquidity risks, and stimulate banks to positively initiate risk management strategy. The paper introduces liquidity risk management and stress test, as well as their relation. It also conducts an empirical analysis on a stress test illustration. Finally the article puts forward some suggestions from the policy-making stand.