我国商业银行流动性风险研究——基于Copula和高阶ES测度的分析  

A Study of Commercial Banks' Liquidity Risks in China——An Analysis Based on Copula-EVT and High Order ES Measurement

作　　者：刘晓星[1] 王金定[1] 

机构地区：[1]广东商学院金融学院,广东广州510320

出　　处：《广东商学院学报》2010年第5期26-33,共8页Journal of Guangdong University of Business Studies

基　　金：国家自然科学基金项目(70973028;70903013);教育部人文社科项目(07JC790022);广东省自然科学基金项目(7301175)

摘　　要：流动性是现代商业银行正常运营的必要条件,流动性的正确衡量是商业银行有效管理流动性风险的前提和基础。运用Copula-EVT和广义随机占优理论中的高阶ES测度对我国商业银行的流动性风险进行分析,发现商业银行的流动性缺口不服从正态分布,Joe Copula函数能够更好地反映流动性缺口不同因子间的相依关系,更好地刻画流动性缺口的尾部特征,流动性缺口的风险值随着阶数的增加而逐渐增大,但其增幅逐渐递减。Liquidity is an essential condition for modern commercial banks＇ operation.To measure liquidity properly is a precondition and foundation for banks to manage its liquidity risks effectively.This paper analyzes China commercial banks＇ liquidity risks by means of Copula-EVT and high order ES measurement in generalized stochastic dominant theory.We found that commercial banks＇ liquidity gap does not obey normal distribution;Joe Copula function can better reflect the dependency relationship between different risk factors of China commercial bank＇ liquidity gap.The,which is based on Copula,can better shape the tail characteristics of liquidity gap.The risk value of liquidity gap is getting bigger with the increased order of,but its increase amplitude declines slowly.

关 键 词：COPULA函数 高阶ES测度 商业银行 流动性风险 

分 类 号：F832.33[经济管理—金融学]