净额支付系统流动性风险、信用风险的测量与评估

Measure and Evaluation of the Liquidity Risk and Credit Risk in Net Settlement System

净额支付系统是银行间支付的重要途径。净额支付系统的运行大大提高了支付的效率,满足了金融资金流动的需要,然而净额支付系统在提高支付效率的同时,也使整个金融系统面临严重的流动性风险和信用风险。面对以上风险,若要制定合理、有效的防范措施,对风险的定量分析必不可少。我国支付系统建成不久,风险防范措施还不完善,尤其缺乏在风险测量和评估方面的研究。在对净额支付系统清算规则进行上述分析的基础上,探讨了净额支付系统中流动性风险和信用风险的测量与评估方法。

The net settlement system is the main channel of payment between banks. The using of net settlement system increases the efficiency of payment system and meets the need of liquidity. But, at the meantime, it makes the financial system in the face of seriously liquidity risk and credit risk. Studying the risks in the net settlement system with a quantitative approach and setting down the necessary measures of risk management is the key of ensuring financial stability. This paper, on the basis of studying the net settlement system, lists the measure and evaluation models of liquidity risk and credit risk in the net settlement system.