中资商业银行流动性管理体系及流动性风险预警模型

上海交通大学硕士学位论文中资商业银行流动性管理体系及流动性风险预警模型姓名：夏海林申请学位级别：硕士专业：工商管理（MBA）指导教师：陈琦伟20040111MBA1MBA2MBA1LIQUIDITYMANAGEMENTSYSTEMOFCHINESECOMMERCIALBANKS&EARLYWARNINGMODELOFLIQUIDITYRISKABSTRACTAccordingtothedefinitionofliquidityrisk,thisthesisfirstdividesitintocashriskandbalancesheetstructuralrisk.Bysimpleillustrations,itcanbefoundthatstructuralriskismoredifficulttohandlethancashrisk.Undercertaincircumstances,structuralriskwillconvertintocashrisk.Thematuritydatemismatchbetweencashinflows&outflowsandchangeinrealvaluearethemainreasons.BaselGuidesalsogivestheimportantprinciplesconcerningliquiditymanagementpolicy,structure,method,earlywarningmodelandcontingencyplan.Secondly,thisthesisexplainsAssets/LiabilitiesLiquidityGapManagementTheoryandthedevelopmentofsomeimportantliquiditymanagementmethods.FollowingBaselprinciples,thisthesisanalyzesthepresentliquidityMBA2managementsituationofChinesecommercialbanksandfindstheyhavequiteanumberofproblems,includingunclearfunctionofLMCO,missingofstrategyandpolicy,distractionofmanagementstructure,out-of-datemanagementmethod,lackofearlywarningmodel.Withoutpropermanagementsystem,itwillbeimpossibleforChinesecommercialbankstohandleliquidityrisk.Accordingtotheaboveanalysis,thecorepointofviewofthisthesisisthatChinesecommercialbanksmustestablishliquiditymanagementsystem&earlywarningmodelbasedonBaselGuides,Assets/LiabilitiesLiquidityGapManagementTheoryandDynamicCashFlowLadder.Inordertobuildupanintegratedliquiditymanagementsystem,Chinesecommercialbanksshouldperformaseriesofreforms,includingcentralizedmanagementstructure,clearfunctionofLMCO,establishmentofAssets/LiabilitiesManagementDept.,implementationofDynamicCashFlowLadderasmajormanagementmethodandproperutilizationofmanagementinstruments.Thisthesisalsoemphasizestheimportanceofearlywarningmodel,whichcancalculateandidentifyliquidityrisksituationwithasetofriskinspectionfigures.Afterrecognizingtherisksituation,thebanksshouldtakethepreparedmeasurements.MBA3Inthesumming-up,certaindifficultpointsofestablishingliquiditymanagementsystem&earlywarningmodelofliquidityriskarestated.Sinceliquidityriskisinevitable,Chinesecommercialbanksshouldtrytocontroltheriskmoreactively.KEYWORDS:bank,liquidityrisk,managementsystem&earlywarningmodel12004121200312200312MBA1MBA21992920002[1].21221999343300[2]7%20039216%5%MBA3Gap1PositiveGapNegativeGap1310061001-1FIGURE1-1RealCashFlowinIllustration13632MBA4323100610032FIGURE1-2RealCashFlowinIllustration233100100331-380%380201-43FIGURE1-3ExpectedCashFlowinIllustration3FIGURE1-4RealCashFlowinIllustration3MBA5MBA6MBA7MBA812004/1/112004/1/152008/1/152008/1/12004/1/12004/1/1FIGURE2-1LiquidityGapbetweenExistingAssets/Liabilities&LiquiditySupplyofExpectedAssets/LiabilitiesIncreaseinIllustration4MBA9MBA10FIGURE2-2TheDevelopmentofLiquidityManagementMethodMBA1145MBA12.MBA13FIGURE4-1PresentLiquidityManagementStructureofChineseCommercialBanksLMCOLMCOMBA14MBA15MBA16MBA17MBA18FIGURE4-1TheAdjustedLiquidityManagementStructureofChineseCommercialBanksLMCOMBA19MBA20MBA21MBA22+/-123451-23-42-34-67–121-----------------------19-27-15-9-17-20-17-10-55-10---5-----25-10---20-----50-5----25--58------A.-14-32-15-7-37-30-12-22-55-6032-5-3-13----------202530-515-20--25301035----25---25------15306048--10-20--15--20--15---------10----2------B.2735502-41-1715276540110C.---13-1-5--13-2--10A+B+C13438-6-83-4748584560MBA23FIGURE4-2TheCashFlowLadderofmatured&contractedAssets/LiabilitiesinIllustration5+/-123451-23-42-34-67–121--------25612151520----1----345-125----------558102030-------------111----A.----1--2131629253755-----------1-2-4-42-2-----------3-5-51-6-10-------------10-15-20-25-32-----------10--10-5---8-----------2-1---2-1--B.-----------16-18-14-40-50-80C.-------------112-12A+B+C----1--2-3-116-13-14-23FIGURE4-3TheCashFlowLadderofPlannedAssets/LiabilitiesincreaseinIllustration5MBA24+/-123451-23-42-34-67–12113438-6-83-4748584560----1--2-3-116-13-14-23A+B13439-6-81-50324453137FIGURE4-4TheCashFlowLadderofConsolidatedAssets/LiabilitiesinIllustration5MBA251996137.331996439.2220001075.951996238.521996537.8820001175.001996339.661996637.7220001274.02FIGURE4-5TheMonthlyAverageBalanceofDemandDepositfromJan.1996toDec.2000inIllustration6MBA26FIGURE4-6TheDistributionofSettled/FluctuatingDemandDepositfromJan.1996toDec.2000inIllustration695%88%MBA27MBA28FIGURE4-7TheEffectivenessMatrixofMarketInstrumentsFIGURE4-8TheOrderofChoosingMarketInstruments//MBA29MBA30MBA31MBA32MBA333%01~23~5520.0610%0-3~0-3-1030.30/8%--10.5~10.540.32/3%=010%10~25%25%10.03/6%----1120.12/4%------100.00/2%5%5~7.5%7.5~10%10%10.02/10%0%0~3%3~10%10%00.002%0-25~0-50~-25-5000.00/10%--1.251~1.25110.10/10%----1120.20/5%15%15~18%18~20%20%20.106%4%2~4%0.5~2%0.5%10.065%5%5~7%7~10%10%00.005%15%15~20%20~25%25%00.006%10%10~20%20-25%25%00.005%--10.05:1.36MBA3411~22~3.753.75MBA35MBA36MBA37MBA38MBA39[1]BaselCommitteeonBankingSupervision[2]19995-43[3]19985555571996252-2542002145-1482002515-519MBA40MBAMBA41[1]4142中资商业银行流动性管理体系及流动性风险预警模型作者：夏海林学位授予单位：上海交通大学相似文献(1条)1.学位论文王迪明中国所面临的金融风险及其防范2003通过