银行流动性风险评级与风险测度——基于随机流动比率模型的分析

The Rating and Measurement of the Liquidity Risks of Banks——An Analysis Based on the Random Liquidity Ratio Model

本文通过构建随机流动比率模型,测算中国12家上市银行的流动性风险距离和风险概率,并进行流动性风险评级;在此基础上,从资产流动性、负债流动性及资产负债匹配程度三方面分析各银行流动性风险差异的原因。研究发现,除建设银行外,其它大型商业银行的资产流动性低于12家样本银行的平均水平。股份制银行的资产流动性较高,负债流动性较低,且各股份制银行的流动性风险水平差别较大。为了降低流动性风险,大型商业银行应增加持有流动性资产,股份制银行则应形成稳定的资金来源,合理进行资产负债匹配。

This paper constructs a random liquidity ratio model to measure the risk distance and risk probability of the Chinese 12 listed banks, and determine the liquidity risk rating. Then the paper analyses the reason of the difference in the liquidity of banks from the perspectives of asset liquidity, liability liquidity and the matching degree of asset and liability. It is found that, except the CCB, the asset liquidity of other big commercial banks is lower than the average asset liquidity of the 12 sample banks. The liquidity of joint-stock banks is high, and the liability liquidity is low. There are great differences in the level of liquidity risks between different joint-stock banks. To reduce liquidity risks, the big commercial banks should increase liquidity assets, and the joint-stock banks should form a stable source of funds and a reasonable asset-liability matching.