新时代我国金融资产管理公司流动性风险管理关键问题及对策研究

Research on the Key Problems and Countermeasures of Liquidity Risk Management in China's Financial Asset Management Companies in the New Era

文章认为,第一,金融资产管理公司流动性风险管理的工作内容包括操作性工作、政策性工作和评价性工作三部分,借鉴商业银行流动性风险治理模式,建议金融资产管理公司采用在资产管理委员会的指导下的"计财部+市场部"的流动性风险治理结构。第二,金融资产管理公司流动性风险偏好体现在指标限额、融资能力、最短生存期、模型参数设定等方面。第三,金融资产管理公司流动性风险计量包括现金流模型和压力测试,建议在参数设定和情景设定上应具有金融资产管理公司自身的特点。

This study argues that,first,the liquidity risk management of financial asset management companies includes operational work,policy work and valuation of three parts.Drawing lessons from the commercial bank liquidity risk management model,the paper suggests thatfinancial asset management companies can use the"financial department and Marketing Department"liquidity risk governance structureunder the guidance ofasset management committee.Secondly,the liquidity risk preference of financial asset management companies is reflected in the quota of indicators,financing capacity,shortest survival period,model parameter setting,etc.Third,the liquidity risk measurement of financial asset management companies includes cash flow model and stress testing and the paper suggests that the parameter setting and scene setting should havefinancial asset management companies'own characteristics.