新巴塞尔框架下流动性风险管理方法实践

The practice of liquidity risk management under the framework of New Basel Capital Accord

次贷危机的持续深化加剧了全球金融市场的动荡,新巴塞尔协议对各国金融监管机构提出了全球统一的流动性风险监管标准。在此背景下,本文就流动性风险这一商业银行面临的重要风险进行了研究,认为我国金融机构应当结合国内金融环境和自身情况在监管要求下对资产负债进行空间和时间两维度的合理配置,设计符合新巴塞尔协议要求的流动性压力测试方法,提高流动性风险的监测管理能力,以使我国的流动性风险监管早日达到国际标准。

Liquidity risk is one of the most important risks of commercial banks.As the deepening sub-prime mortgage crisis exacerbated global financial market turbulence,the Basel Committee issued regulatory standards for liquidity risk.In this paper,the authors hold that China's financial institutions should configure a reasonable structure of assets and liabilities in two dimensions of space and time according to the requirements of regulatory agency and design liquidity stress testing methods to meet the claim of Basel(Ⅱ).This is the only way to improve the capability of liquidity risk monitoring and management.