浅论商业银行流动性风险管理

Analysis on Liquidity Risk Management in Commercial Banks

本文从博弈论和贝叶斯推断的角度阐述了流动性风险的形成机制，指出流动性和盈利性的矛盾是商业银行流动性风险存在的根本原因。并且阐述了流动性缺口的管理方法，提出流动性缺口的理论估算公式和经验估算公式。

Liquidity Risk (LR) is one of the financial risks commercial banks always face. This paper reveals the mechanism of LR from the view points of game theory and Bayesian extrapolation, and points out that LR comes from the contradiction between liquidity and profitability of capital in commercial banks. In order to manage the LR, we introduce the method of liquidity gap management and show theoretical and empirical estimation formulas to calculate liquidity gap. In the end, we evaluate the advantages and disadvantages of two methods.