我国商业银行流动性风险压力测试

Stress Test of Liquidity Riskof Chinese Commercial Bank

商业银行流动性风险在2007年金融危机之后越来越受国际银行业的重视。我国自2009年3月正式加入巴塞尔银行监管委员会后,积极推进新的风险监管标准。流动性风险压力测试是一种前瞻性的定量分析方法,它能预测极端经济情景下,商业银行的流动性风险承受能力,并做出针对性的经营政策调整,预防流动性风险。虽然众多金融机构在金融危机后开始重视此测试,由于起步太晚,测试中在因子选择,模型构建和数据的完整性上与国际水平有一定差距。通过商业银行流动性风险压力测试的实证分析,提出了相应的政策建议。

Commercial bank liquidity risk is taken more seriously after the financial crisis in 2007. China has actively promoted its new risk regulatory standards since it joined the Basel Committee on banking supervision in March,2009. Liquidity risk stress test is a prospective method for quantitative analysis. It can predict the liquidity risk tolerance of commercial banks under extreme economic scenarios and make targeted business policy adjustments to prevent liquidity risk. Many financial institutions began to pay at- tention to liquidity risk stress test after the financial crisis~ however, compared with international advanced level, China＇s commercial banks＂ liquidity risk stress test still exists shortage in factor selection, model construction and data integrity because of its late start. Therefore,it is necessary to make attempts and innovation in factor selection of liquidity risk stress test