清算价格测算与流动性风险评价——以中国建设银行为例  

Liquidation Price Estimation and Liquidity Risk Assessment: Taking CCB as an Example

作　　者：敬志勇[1] 王周伟[1] 郑莹莹[1] 

机构地区：[1]上海师范大学金融工程研究中心,上海200234

出　　处：《金融理论与实践》2014年第12期54-58,共5页Financial Theory and Practice

基　　金：国家自然科学项目(71471117;71373162;71371126)

摘　　要：市场冲击和银行财务状况共同决定贷款清算价格。市场冲击也是引发流动性风险的一个重要外因,其随机特征使以清算价格为基础的贷款测算比现行以会计核算为基础的短期流动性缺口管理更适合市场冲击测试。2013年末中国建设银行流动性缺口尽管为负,但是贷款清算折扣很小,流动性管理具有效率性。积极推进信贷资产证券化是流动性风险管理中控制清算折扣的一条有效途径。Market shocks and financial condition determine loan price for fire sale. Market shocks are also external variable triggering liquidity risk and their random occurrence requires that banks shouldprefer loan estimate based on fire sale to liquidity GAP estimate based on accounting rule in marketshocks tests. By the end of 2013 CCBs accumulated 3 month interval liquidity GAP is negative butloan haircut is too small to ignite serious liquidity risk and CCB was efficient in risk management. Securitizingloan is an effective resolution to control haircut in liquidity risk management.

关 键 词：商业银行 流动性风险 市场冲击 清算价格 

分 类 号：F832.4[经济管理—金融学]