基于因子模型的我国上市商业银行流动性风险评价研究

On Iiquidity Risk Evaluation of China's Listed Commercial Banks Based on Factor Model

选取40家上市商业银行,分为国有银行、股份制银行、城商行和农商行四类,建立流动性风险因子分析模型,分析流动性风险管理存在的问题。结果表明,国有银行流动性风险最低,在保持良好经营的同时,应积极关注可能引发流动性风险的政策性因素;股份制银行负债结构有待进一步优化;城商行高度依赖存贷息差收入模式,存贷期限结构不合理;农商行资产质量相对较差,经营效率和盈利能力偏低。建议国有银行提升政策风险对冲能力;股份制银行优化负债结构;城商行开拓中间业务,弥补息差收入不足;农商行加强信贷管理,降低不良率;监管部门实施动态差异化监管。

This paper selects 40 listed commercial banks,classified as state-owned banks,joint-stock banks,city commercial banks and rural commercial banks,establishes a liquidity risk factor analysis model,and analyzes the problems of liquidity risk management.The results show that the liquidity risk of state-owned banks is the lowest.While maintaining good operation,policy factors that may lead to liquidity risk should be actively concerned;the debt structure of joint-stock banks needs to be further optimized;city commercial banks are highly dependent on the deposit-loan interest difference income model,and the deposit-loan term structure is unreasonable;agricultural and commercial banks have relatively poor asset quality,low operating efficiency and profitability.It is recommended that state-owned banks enhance their ability to hedge policy risks;joint-stock banks optimize the debt structure;city Commercial Banks to develop intermediary business make up for the lack of interest income;agricultural and commercial banks to strengthen credit management reduce the bad rate;the regulatory authorities implement dynamic differentiated supervision.