摘要
流动性风险压力测试能帮助商业银行决策者科学判断金融体系可能面临的流动性冲击、承压能力及传染性风险,制定恰当的流动性管理决策,可以提高流动性风险管理能力。以城市商业银行为例,假定在存款准备金上升和存款流失的压力测试情景下,通过分析流动性缺口率、备付金率、存贷比等相关流动性指标变化对其影响程度来评估城市商业银行可能面临的流动性风险以及其管理防范流动性风险的能力。
Liquidity risk stress tests can help the decision makers of commercial banks judge thepossible liquidity shocks, bearing capacity and infectious risks scientifically, make the proper liquiditymanagement decisions to improve the ability of liquidity risk management. By taking the citycommercial banks as examples, the author assumed a test situation of the deposit reserve increasing andloss of deposit, by analyzing the related liquidity index changes such as liquidity gap rate, rate of excessreserves, LDR （Loan-to-deposit ratio） liquidity indicators to evaluate the liquidity risk and itsmanagement＇s ability to guard against liquidity risk which commercial Banks may face.
出处
《金融理论与实践》
北大核心
2014年第11期109-111,共3页
Financial Theory and Practice
关键词
流动性管理
压力测试
城市商业银行
liquidity management
pressure test
city commercial banks
