试论我国商业银行流动性风险管理

【作者】 唐杰；

【导师】 殷孟波；

【作者基本信息】 西南财经大学 ， 金融学， 2004， 硕士

【摘要】 盈利性、安全性和流动性的有机统一，是商业银行经营的一个基本原则。流动性管理是协调安全性和盈利性，防范银行支付风险的重要手段，也是商业银行经营管理的核心和精髓。巴塞尔银行监管委员会发布的《有效银行监管的核心原则》（以下简称《核心原则》）对流动性风险定义如下：流动性风险是指银行无力为负债的减少或资产的增加提供融资的可能性，即当银行流动性不足时，它无法以合理的成本迅速增加负债或变现资产获得足够的资金，从而影响了其盈利水平。流动性问题解决得不好，就有可能导致流动性支付危机。这一问题对金融机构尤其重要。不管是香港的百富勤，还是广东国投，都是由于支付问题导致破产清盘的。所以，对此问题，应引起我国商业银行的高度重视。无论是金融机构还是非金融机构，都存在流动性风险，但对市场流动性创造者的金融机构而言，流动性风险的危害要大得多。金融机构由于流动性管理不善所造成的流动性危机，会沉重打击投资者和债权人的信心，严重损害该机构的信誉，引发大范围的心理恐慌和一连串的挤兑行为，这种多米基诺骨牌效应最终将引发区域性的或者是全国性的乃至全球性的金融危机、经济危机和社会动荡，如果不能及时有效地化解危机，其结局非常严重。我国在1995年颁布的《商业银行法》明确指出，“商业银行以效益性、安全性、流动性为经营原则，实行自主经营、自担风险、自负盈亏、自我约束”。但是，由于我国商业银行的企业化改革还不彻底，特别是控制着我国绝大部分金融资源的四大国有商业银行的最终所有者仍然是国家，国家信誉的保证使银行在面临流动性困难的时候将风险转嫁给国家，流动性风险到目前为止并不是商业银行所面临的主要经营风险，结果商业银行经营中对流动性的重视往往不足，目前的流动性管理还仅仅表现为一种由监管当局为主体的依据法律规定对商业银行进行的外生性流动性管理，商业银行内部流动性风险管理意识的薄弱使得当出现某些特殊情况时，容易出现流动性问题，甚至出现挤兑，这在近几年也有不少的例子。因此，随着金融开放程度的进<WP=4>一步加大，经济体制改革的进一步深化和商业银行股份制改造的进行，商业银行经营的内外部环境会发生深刻的变化，如何强化我国金融机构的流动性风险管理观念，防范流动性危机？如何借鉴国外商业银行流动性管理的经验，设计适合我国金融机构的流动性管理模式？正是本文的主题和出发点。按照流动性风险所造成危害程度的不同，可以将其分为三种情况：第一种情况：银行的一切经营活动正常。信贷资金市场正常运转，银行本身并无严重问题发生。这种情况的流动性风险，是由银行本身资产和负债的经营特点所决定的，是日常经营活动面临的必然问题。第二种情况：银行本身出现危机，例如，出现大量的坏帐。1997年以来亚洲金融危机的深刻教训之一就是巨额不良贷款成为银行陷入支付危机的重要原因。第三种情况：银行业整体出现危机。由于后两种流动性风险是一种派生风险，成因复杂，因此，本文将重点放在对第一种情况的分析上，而对后两种不作重点论述。从目前国际国内已经进行过的研究来看，对风险管理的研究著作很多，但对流动性风险进行单独研究的较少，对发达国家的银行在流动性风险管理方面积累的成功经验和不断创造出的新的风险管理技术和方法介绍较少，因而本文的思路是从经济学的相关理论入手，分析了不同种流动性风险产生的原因，介绍了国际上通行的商业银行流动性管理的惯例，着重分析了影响我国商业银行流动性管理的内外部因素，最后，在理论、实证、现状分析的基础上，提出了改革我国商业银行流动性管理的相关建议。本文共分四章。第一章分为三个部分，主要是对流动性风险管理的经济学理论的介绍。第一部分对流动性以及流动性风险下了定义，流动性是指银行能够在一定时间内以合理的成本筹集一定数量的资金来满足客户当前或未来的资金需求。它由资金、数量、时间三方面因素构成，流动性风险指银行不能随时以合理的价格筹集到足够的资金履行自己的义务，满足顾客的需求。流动性风险分为经营性流动性风险和危机性流动性风险，接下来对不同情况的流动性风险的成因进行经济学分析，在分析的基础上界定了本文的研究重点。第二部分对<WP=5>流动性理论的发展进行简要的介绍，在此基础上，第三部分提出了一个流动性管理的成本模型。一般地，流动性管理成本包括持有低收益的资产的机会成本、资产的变现成本、从外部借入流动性的成本、不能筹集到流动性资金而受到处罚的成本。各类成本又受到很多其它因素的影响，在不同环境下这些成本的不同组合，决定了商业银行流动性管理的策略。第二章主要介绍了目前国际上通行的商业银行流动性管理的惯例。国外的商业银行已经发展得相对成熟，因而在流动性管理方面积累了大量的经验，这些做法对于我国商业银行具有一定的借鉴价值。本章着重介绍了影响流动性管理的两个重要方面：流动性风险的测量方法和流动性计划的制定实施。详细介绍了在测量以及计划的制定方面目前运用的一些惯例以及一些新的技术方法。最后得出结论：从国外商业银行流动性管理的情况来看，流动?更多还原

【Abstract】 It is a basic principle in commercial banks that profitability、safety and liquidity must be unified organically. Liquidity management is not only the important means to coordinate safety and profitability and to keep the payment risk away，but also the core in the commercial bank management. In the publication of the Basel committee, the definition of the liquidity risk is that the probability that banks cannot fund asset growth or meet obligations as they become due, that is, when there is liquidity shortage in a bank, the bank cannot increase liabilities or sell assets in a reasonable price. There are liquidity problems in both financial and non-financial institutions, but in comparison, the harm that liquidity risk does to the former is bigger than it does to the latter. In an extreme case, such liquidity problems can manifest themselves in runs, even on sound banks, when customers withdraw their deposits on a massive scale. Furthermore, an individual liquidity problem can quickly spread to the whole banking sector and the whole world, resulting in a real bank panic and economic crisis.It was pointed out in “commercial bank law” in 1995 that the commercial banks should regard profitability, safety and liquidity as business principles, implement independent management , take risks by themselves , assume sole responsibility for their profits and losses, and exercise self-discipline. In fact, the reform of commercial banks in China has not made commercial banks complete assume sole responsibility for its profits or losses, especially for the four major state-owned commercial banks, which control most financial resources, their ultimate owner is still the state. So when there is liquidity problem, commercial banks can impute it to the country easily, which makes commercial banks pay little attention to liquidity management. At present, liquidity management is a kind of management which supervision authority supervises commercial <WP=8>banks in terms of legal provisions, but not commercial banks manage their liquidity positions on their own initiative. Because of the weak self-consciousness of the commercial banks for liquidity management, banks may manifest themselves in runs when facing some special problems, which we can see many examples in these years. As economic and financial reform and opening to the outside world deepened, the factors influencing the management of commercial banks will change a lot. How to strengthen the liquidity management idea in commercial banks, and take precautions against liquidity crisis? How to use the experience in foreign commercial banks for reference to scheme out liquidity management model that suits financial institutions in China? This article focuses on the problems brought forward above.According to the extent of harm which liquidity risk does to financial system, we can divide liquidity risk into three kinds. The first kind is operational liquidity and the others are crisis liquidity. In this article, the focus is made on the first kind of liquidity risk. According to international and domestic research, there are a lot of works about risk management, but there are a few works about liquidity management, and there are a few works introducing the successful experience and practices and new techniques created in foreign liquidity risk management. This thesis begins with relative theories in economics, analyzes the reason by which different liquidity risk occur, introduces the international practice in liquidity management, and plays emphasis on the factors impeding the liquidity management of the commercial banks in China. At last, suggestions are put forward to strengthen and improve the liquidity management of commercial banks in China.The structure of this article is as follows. Chapter 1 introduces the economic theory about liquidity management. First, there are definitions of the liquidity and liquidity risk. The liquidity is the ability of credit institutions to fund increases in assets and meet obligations as they <WP=9>become due, and the l更多还原