流动性风险调整的银行在险价值计量研究

A Study of the Measurement of Liquidity-Adjusted VaR of Banks

本文基于中国12家上市商业银行2007年9月25日至2013年6月24日的日股票价格波动,构建GARCH-LaVaR模型用于计量商业银行流动性风险调整的在险价值,对商业银行流动性风险调整的在险价值La_VaR计量方法进行了改进。通过12家商业银行股票日收益率波动GARCH模拟,对商业银行流动性调整在险价值进行了计量。实证分析表明:商业银行流动性风险在金融危机冲击期间具有较强的非常态波动现象,大型商业银行的流动性风险波动较小,而小型商业银行的流动性风险波动较大。

Based on the fluctuations of the daily stock price of Chinese 12 listed commercial banks during 25, September 2007-24, June 2013, this paper builds a GARCH-LaVaR model to measure the liquidity-Adjusted VaR of Chinese listed com- mercial banks, and improves the measurement method of the liquidity-adjusted La-VaR of commercial banks. By the GARCH simulation of the daily return fluctuations of 12 commercial banks, the paper measures the liquidity-adjusted VaR of commercial banks.The empirical analysis shows that the liquidity risks of commercial banks fluctuate abnormally during the financial crisis, and the fluctuation extent of large commercial banks is less than that of small commercial banks.