基于压力测试的商业银行流动性风险研究
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摘要
保持资产的安全性、流动性、盈利性是商业银行管理的三原则。而其中的流动性风险管理的能力可以称作是一种关系商业银行生死存亡的重要能力。2008年爆发的次贷危机中接连倒闭的银行提醒我们：流动性短缺在金融资本市场正常的时候对商业银行不会有很大影响,而一旦极端情况发生引起部分影响因素发生重大变化,就很可能使流动性危机成为银行倒闭的关键风险。目前我国商业银行的流动性风险管理还不是很成熟,各银行多根据中国银行业监督管理委员会的流动性风险指标进行简单分析,而忽略了应对特殊情况下的流动性危机。为了中国金融的稳定发展,更要加强对流动性风险管理的讨论和研究,找出具有中国特色的流动性风险管理方法,以适应瞬息万变的国际经济形势,为我国金融业的成长省去后顾之忧。
本文在国内外商业银行流动性风险管理理论的基础上,创造性的引入了压力测试这一新兴风险管理技术作为研究的侧重点。首先,从宏观和微观两个角度全面分析了目前我国商业银行流动性现状,然后结合具体数据分析了超额准备金率和存贷比两个流动性风险评价指标,并总结了商业银行流动性的潜在风险情况。其次,在内部和外部两个方面对商业银行流动性风险的影响因素进行分析,据此选取了十个具有代表性的影响因素。利用收集到的商业银行、宏观经济数据进一步运用灰色关联度分析法,完成对影响因素的关联度排序。在此基础上,选取了五种重要变量分别对国有控股商业银行、全国性的股份制商业银行、城市和农村商业银行三类银行进行多元回归分析,构建风险评估模型。最后基于风险评估模型对股份制商业银行和城市与农村商业银行进行了压力测试并得出实证结论,并根据实证结果提出了针对我国商业银行流动性风险管理的一些建议。
The assets safety, liquidity and profitability are the three management principles for commercial banks, among which the liquidity risk management could be regarded as a critical capability of vital importance of commercial banks. The bankruptcies of banks took place successively during the subprime crisis in 2008 has warned us that the short in liquidity will not bring much impact on commercial banks under the normal condition of financial and capital markets, however, the liquidity crisis may be caused on some extreme circumstances and possibly become the key risk for bankruptcies of banks. So far, the liquidity risk management of the Chinese commercial banks is still immature; most of the banks just make simple analysis according to the liquidity risk indicator announced by the China Banking Regulatory Commission (CBRC), and ignore the liquidity crisis management under special circumstances. To realize the steady development of the Chinese financial industry, it is important to enhance the discussion and research on the liquidity risk management and find out methods for liquidity risk management with the Chinese characteristics, so as to adapt to the constantly changing international economic situation and eliminate the worries for the sustainable development of the Chinese financial industry.
On the basis of liquidity risk management theory of domestic and foreign commercial banks, this paper innovatively introduces the concept of stress testing, a newly emerged risk management technique, as the emphasized point of the research. Firstly, it makes an all-round analysis of the current situation of the liquidity management of Chinese commercial banks from both macro-economic and micro-economic aspects, and then analyzes the two liquidity risk evaluation indicators including the excess reserve ratio and loan-to-deposit ratio according to detailed statistics, and finally summarizes the potential liquidity risks of commercial banks. Secondly, it focuses on the influential factors related to liquidity risks of commercial banks and makes analysis thereof from both internal and external aspects, and picks out 10 representative factors accordingly. By analyzing the collected data of commercial banks and macro-economy through the gray relevance method, this paper also makes the relevance ranking of these influential factors. And on the basis of this, it selects 5 important variables to make the multiply regression analysis of three kinds of banks separately including the state-owned holding banks, national joint-stock commercial banks, and urban and rural banks. Finally, it makes the stress testing of some commercial banks on the base of risk evaluation model and draws the conclusion, and puts forward some suggestions for the liquidity risk management of the Chinese commercial banks accordingly.
本文在国内外商业银行流动性风险管理理论的基础上,创造性的引入了压力测试这一新兴风险管理技术作为研究的侧重点。首先,从宏观和微观两个角度全面分析了目前我国商业银行流动性现状,然后结合具体数据分析了超额准备金率和存贷比两个流动性风险评价指标,并总结了商业银行流动性的潜在风险情况。其次,在内部和外部两个方面对商业银行流动性风险的影响因素进行分析,据此选取了十个具有代表性的影响因素。利用收集到的商业银行、宏观经济数据进一步运用灰色关联度分析法,完成对影响因素的关联度排序。在此基础上,选取了五种重要变量分别对国有控股商业银行、全国性的股份制商业银行、城市和农村商业银行三类银行进行多元回归分析,构建风险评估模型。最后基于风险评估模型对股份制商业银行和城市与农村商业银行进行了压力测试并得出实证结论,并根据实证结果提出了针对我国商业银行流动性风险管理的一些建议。
The assets safety, liquidity and profitability are the three management principles for commercial banks, among which the liquidity risk management could be regarded as a critical capability of vital importance of commercial banks. The bankruptcies of banks took place successively during the subprime crisis in 2008 has warned us that the short in liquidity will not bring much impact on commercial banks under the normal condition of financial and capital markets, however, the liquidity crisis may be caused on some extreme circumstances and possibly become the key risk for bankruptcies of banks. So far, the liquidity risk management of the Chinese commercial banks is still immature; most of the banks just make simple analysis according to the liquidity risk indicator announced by the China Banking Regulatory Commission (CBRC), and ignore the liquidity crisis management under special circumstances. To realize the steady development of the Chinese financial industry, it is important to enhance the discussion and research on the liquidity risk management and find out methods for liquidity risk management with the Chinese characteristics, so as to adapt to the constantly changing international economic situation and eliminate the worries for the sustainable development of the Chinese financial industry.
On the basis of liquidity risk management theory of domestic and foreign commercial banks, this paper innovatively introduces the concept of stress testing, a newly emerged risk management technique, as the emphasized point of the research. Firstly, it makes an all-round analysis of the current situation of the liquidity management of Chinese commercial banks from both macro-economic and micro-economic aspects, and then analyzes the two liquidity risk evaluation indicators including the excess reserve ratio and loan-to-deposit ratio according to detailed statistics, and finally summarizes the potential liquidity risks of commercial banks. Secondly, it focuses on the influential factors related to liquidity risks of commercial banks and makes analysis thereof from both internal and external aspects, and picks out 10 representative factors accordingly. By analyzing the collected data of commercial banks and macro-economy through the gray relevance method, this paper also makes the relevance ranking of these influential factors. And on the basis of this, it selects 5 important variables to make the multiply regression analysis of three kinds of banks separately including the state-owned holding banks, national joint-stock commercial banks, and urban and rural banks. Finally, it makes the stress testing of some commercial banks on the base of risk evaluation model and draws the conclusion, and puts forward some suggestions for the liquidity risk management of the Chinese commercial banks accordingly.
引文
[1]Peter Neu. Liquidity Lessons for the 90s Bank Management.1990, (4):21-23P.
[2]BIS. Sound Practices on Managing Liquidity Risk. February,2000:36-39P.
[3]胡爱娟.我国商业银行流动性风险实证分析.浙江大学硕士学位论文.2009.
[4]Diamond & Dybvig. A Model of Reserves Bank Runs and Deposit Insurance. Journal Banking & Finance.1983, (12):29-30P.
[5]霍团结.我国商业银行流动性风险管理研究.北京：中国经济出版社,2001:269-273页.
[6]Francesco Garden. Indicators of fragility in the UK corporate sector. Bank of England. Working Paper.2001:79-80P.
[7]Wolf Wagner. Liquidity management with fuzzy qualitative constraints. University of Cambridge and Tilburg University. Working Paper.2004:55-58P.
[8]Oz Shy. Liquidity of bank assets banking stability. Economic research.2005, (2): 89-92P.
[9]Lev Ratnovski. Sound Practices on Managing Liquidity Risk. Journal Banking & Finance.2010, (1):102-109P.
[10]Mustafa Tibiae. Amendment to the Capital Accord to Incorporate Market Risks. BIS.1995, (11):22-26P.
[11]BIS. International Convergence of capital Measurement and Capital Standards A Revised Framework.1996, (6):87-89P.
[12]Schechter. The value of stress testing in market risk management. Derivatives Risk Management Service.1998, (3):96-99P.
[13]Kevin Kennedy. Optimal liquidity management and bail-out policy in the banking industry. Economic research.1999, (7):102-103P.
[14]Martin Chaka. How do central banks write on financial stability. IMF Working Paper.1999:201-209P.
[15]Boss M. A Macroeconomic credit risk model for Stress Testing the Austrian credit Portfolio. Financial Stability Report.2002, (4):12-19P.
[16]Liege G. Indicators of fragility in the UK corporate sector. Bank of England. Working Paper.2001:89-91P.
[17]巴塞尔银行监管委员.统一资本计量和资本标准的国际协议：修订框架.2004.
[18]Basel Committee on Banking Supervision. BASEL NEW CAPITAL ACCORD.2004
[19]Jan Willem van den End. Modeling scenario analysis and macro stress-testing, economic paper.2006, (5):98-102P.
[20]Wong Michael Chak-sham. Macro stress tests and history-based stressed PD:the case of Hong Kong. Journal of Financial Regulation and Compliance.2008, (6):301-303P.
[21]Mario Quagliariello. Stress testing a review of key concepts. CNB International Research and Policy Note.2009, (9):225-227P.
[22]俞承璋,孙谦傅.商业银行流动性风险问题研究.经济问题.1999,(10):31-33页.
[23]葛齐.压力测试在我国商业银行风险管理中的应用.西南财经大学硕士学位论 文.2001：45-49页.
[24]李启成,陈建梁.商业银行风险管理的多维度思考.现代商业银行.2002,(3)：203-205页.
[25]刘宗华,商业银行经营中的流动性、流动性风险及其管理.新金融.2003,(7)：22-25页.
[26]温坷,王立.商业银行流动性困境分析.当代经理人.2003,(11)：67-69页.
[27]楼铭铭.商业银行风险管理问题研究.财经界.2004,(4)：109-113页.
[28]孙治国.商业银行流动性风险度量方法.北京：中国财政出版社.2004:451-455页.
[29]潘文娟.商业银行风险论.北京：人民出版社.2005:39-41页.
[30]郭春松著.中国银行业监管协调与合作研究.北京：中国金融出版社,2007:78-79页.
[31]王文华.商业银行流动性风险与管理.对策经济师.2006,(8):88-90页.
[32]李成,姜柳.商业银行风险管理.上海：复旦大学出版社.2006,(4):47-48页.
[33]赵赢.论商业银行的全面风险管理.广西民族学院学报.2007,(1):134-136页.
[34]余小勇,吴地宝.对加强商业银行风险管理的思考.特区经济.2007,(7):221页.
[35]吴双.我国商业银行流动性分析.中国集体经济.2008,(2)：189-191页.
[36]李隐波.小波包时频分析方法研究.哈尔滨工程大学硕士学位论文.1997:23-25页.
[37]季教民,金百锁.我国股份制商业银行资产负债流动性管理初探.浙江金融.2008,(2)：76-79页.
[38]董丽.从流动性风险谈商业银行传统业务的回归.商场现代化.2009,(6)：221-223页.
[39]王晓雯,张妍.商业银行流动性风险评估与管理.当代经济.2010,(3)：60-62页.
[40]董爱阳.基于BP神经网络的商业银行流动性风险预警.黑龙江对外经贸.2010,(9)：32-29页.
[41]汪寿阳,张静.日元贬值对中国出口的影响：压力测试分析.中外管理导报.2002,(8)：58-60页.
[42]陈德胜,姚伟峰,冯宗宪.极端波动情景中的压力测试和极值理论方法研究.价值工程.2004,(7)：204-209页.
[43]中国银行业监督管理委员会.商业银行市场风险管理指引.2004,(12).
[44]董天新,杜亚斌.压力测试及其在金融机构风险管理中的运用.新金融.2005,(11)：229-231页.
[45]孙连友.金融体系压力测试概念与方法.济南金融.2006,(2)12-15页.
[46]孙连友.我国商业银行压力测试研究.南昌大学硕士学位论文.2007:45-49页.
[47]中国银行业监督管理委员会.商业银行压力测试指引.2007.
[48]黄晓峰.Credit metrics模型在压力测试中的应用.工业经济.2008,(1):85-87页.
[49]李江,刘丽平.中国商业银行体系信用风险评估——基于宏观压力测试的研究.当代经济科学.2008,(6)：25-27页.
[50]刘晓星.国有商业银行流动性过剩根源与对策.合作经济与科技.2009,(5)：90-91 贝.
[51]中国银行业监督管理委员会.商业银行流动性风险管理指引.2009.
[52]顾小青.压力测试在我国商业银行风险管理中的应用.西南财经大学硕士学位论文.2010：33-36页.
[53]黄晓峰.压力测试模型比较研究. 大连：东北财经大学出版社.2010:29-31页.
[54]易丹辉著.数据分析与eviews应用.北京：中国人民大学出版社.2008:125-129页.
[55]高铁梅著.计量经济分析方法与建模.北京：清华大学出版社.2005:193-199页.
[2]BIS. Sound Practices on Managing Liquidity Risk. February,2000:36-39P.
[3]胡爱娟.我国商业银行流动性风险实证分析.浙江大学硕士学位论文.2009.
[4]Diamond & Dybvig. A Model of Reserves Bank Runs and Deposit Insurance. Journal Banking & Finance.1983, (12):29-30P.
[5]霍团结.我国商业银行流动性风险管理研究.北京：中国经济出版社,2001:269-273页.
[6]Francesco Garden. Indicators of fragility in the UK corporate sector. Bank of England. Working Paper.2001:79-80P.
[7]Wolf Wagner. Liquidity management with fuzzy qualitative constraints. University of Cambridge and Tilburg University. Working Paper.2004:55-58P.
[8]Oz Shy. Liquidity of bank assets banking stability. Economic research.2005, (2): 89-92P.
[9]Lev Ratnovski. Sound Practices on Managing Liquidity Risk. Journal Banking & Finance.2010, (1):102-109P.
[10]Mustafa Tibiae. Amendment to the Capital Accord to Incorporate Market Risks. BIS.1995, (11):22-26P.
[11]BIS. International Convergence of capital Measurement and Capital Standards A Revised Framework.1996, (6):87-89P.
[12]Schechter. The value of stress testing in market risk management. Derivatives Risk Management Service.1998, (3):96-99P.
[13]Kevin Kennedy. Optimal liquidity management and bail-out policy in the banking industry. Economic research.1999, (7):102-103P.
[14]Martin Chaka. How do central banks write on financial stability. IMF Working Paper.1999:201-209P.
[15]Boss M. A Macroeconomic credit risk model for Stress Testing the Austrian credit Portfolio. Financial Stability Report.2002, (4):12-19P.
[16]Liege G. Indicators of fragility in the UK corporate sector. Bank of England. Working Paper.2001:89-91P.
[17]巴塞尔银行监管委员.统一资本计量和资本标准的国际协议：修订框架.2004.
[18]Basel Committee on Banking Supervision. BASEL NEW CAPITAL ACCORD.2004
[19]Jan Willem van den End. Modeling scenario analysis and macro stress-testing, economic paper.2006, (5):98-102P.
[20]Wong Michael Chak-sham. Macro stress tests and history-based stressed PD:the case of Hong Kong. Journal of Financial Regulation and Compliance.2008, (6):301-303P.
[21]Mario Quagliariello. Stress testing a review of key concepts. CNB International Research and Policy Note.2009, (9):225-227P.
[22]俞承璋,孙谦傅.商业银行流动性风险问题研究.经济问题.1999,(10):31-33页.
[23]葛齐.压力测试在我国商业银行风险管理中的应用.西南财经大学硕士学位论 文.2001：45-49页.
[24]李启成,陈建梁.商业银行风险管理的多维度思考.现代商业银行.2002,(3)：203-205页.
[25]刘宗华,商业银行经营中的流动性、流动性风险及其管理.新金融.2003,(7)：22-25页.
[26]温坷,王立.商业银行流动性困境分析.当代经理人.2003,(11)：67-69页.
[27]楼铭铭.商业银行风险管理问题研究.财经界.2004,(4)：109-113页.
[28]孙治国.商业银行流动性风险度量方法.北京：中国财政出版社.2004:451-455页.
[29]潘文娟.商业银行风险论.北京：人民出版社.2005:39-41页.
[30]郭春松著.中国银行业监管协调与合作研究.北京：中国金融出版社,2007:78-79页.
[31]王文华.商业银行流动性风险与管理.对策经济师.2006,(8):88-90页.
[32]李成,姜柳.商业银行风险管理.上海：复旦大学出版社.2006,(4):47-48页.
[33]赵赢.论商业银行的全面风险管理.广西民族学院学报.2007,(1):134-136页.
[34]余小勇,吴地宝.对加强商业银行风险管理的思考.特区经济.2007,(7):221页.
[35]吴双.我国商业银行流动性分析.中国集体经济.2008,(2)：189-191页.
[36]李隐波.小波包时频分析方法研究.哈尔滨工程大学硕士学位论文.1997:23-25页.
[37]季教民,金百锁.我国股份制商业银行资产负债流动性管理初探.浙江金融.2008,(2)：76-79页.
[38]董丽.从流动性风险谈商业银行传统业务的回归.商场现代化.2009,(6)：221-223页.
[39]王晓雯,张妍.商业银行流动性风险评估与管理.当代经济.2010,(3)：60-62页.
[40]董爱阳.基于BP神经网络的商业银行流动性风险预警.黑龙江对外经贸.2010,(9)：32-29页.
[41]汪寿阳,张静.日元贬值对中国出口的影响：压力测试分析.中外管理导报.2002,(8)：58-60页.
[42]陈德胜,姚伟峰,冯宗宪.极端波动情景中的压力测试和极值理论方法研究.价值工程.2004,(7)：204-209页.
[43]中国银行业监督管理委员会.商业银行市场风险管理指引.2004,(12).
[44]董天新,杜亚斌.压力测试及其在金融机构风险管理中的运用.新金融.2005,(11)：229-231页.
[45]孙连友.金融体系压力测试概念与方法.济南金融.2006,(2)12-15页.
[46]孙连友.我国商业银行压力测试研究.南昌大学硕士学位论文.2007:45-49页.
[47]中国银行业监督管理委员会.商业银行压力测试指引.2007.
[48]黄晓峰.Credit metrics模型在压力测试中的应用.工业经济.2008,(1):85-87页.
[49]李江,刘丽平.中国商业银行体系信用风险评估——基于宏观压力测试的研究.当代经济科学.2008,(6)：25-27页.
[50]刘晓星.国有商业银行流动性过剩根源与对策.合作经济与科技.2009,(5)：90-91 贝.
[51]中国银行业监督管理委员会.商业银行流动性风险管理指引.2009.
[52]顾小青.压力测试在我国商业银行风险管理中的应用.西南财经大学硕士学位论文.2010：33-36页.
[53]黄晓峰.压力测试模型比较研究. 大连：东北财经大学出版社.2010:29-31页.
[54]易丹辉著.数据分析与eviews应用.北京：中国人民大学出版社.2008:125-129页.
[55]高铁梅著.计量经济分析方法与建模.北京：清华大学出版社.2005:193-199页.