识别和管理流动性风险(银监会罗平)

00©2010QuantitativeRiskManagement,Inc.IdentifyingandManagingLiquidityRiskChicago|London|Singapore11©2010QuantitativeRiskManagement,Inc.流动性风险的识别与管理芝加哥|伦敦|新加坡22©2010QuantitativeRiskManagement,Inc.“Everybankerknowsthatifhehastoprovethatheisworthyofcredit,howevergoodmaybehisargument,infactthecreditisalreadygone.”LombardStreet:ADescriptionoftheMoneyMarketbyWalterBagehot(1877)33©2010QuantitativeRiskManagement,Inc.“所有的银行家都知道：如果他要证明自己是值得信任的，即使理由再充分，事实上他的信用已经不在。朗伯德街:；沃尔特-白泽特关于货币市场的描述（1877）44©2010QuantitativeRiskManagement,Inc.IdentifyingandManagingLiquidityRiskI.LiquidityRiskDefinedII.RecentEventsinLiquidityRiskIII.ChallengesinLiquidityRiskManagementIV.MeasuringLiquidityRiskV.ManagingLiquidityRiskVI.Summary55©2010QuantitativeRiskManagement,Inc.流动性风险的识别与管理I.流动性风险的定义II.流动性风险的近况III.流动性风险管理的挑战IV.流动性风险的度量V.流动性风险的管理VI.总结66©2010QuantitativeRiskManagement,Inc.IdentifyingandManagingLiquidityRiskI.LiquidityRiskDefinedII.RecentEventsinLiquidityRiskIII.ChallengesinLiquidityRiskManagementIV.MeasuringLiquidityRiskV.ManagingLiquidityRiskVI.Summary77©2010QuantitativeRiskManagement,Inc.流动性风险的识别和管理I.流动性风险的定义II.流动性风险的近况III.流动性风险管理的挑战IV.流动性风险的度量V.流动性风险的管理VI.总结88©2010QuantitativeRiskManagement,Inc.BusinessoffinancialintermediationisfraughtwithliquidityriskBanksareliquidityprovidersforbothdepositorsandborrowersAllbanksuseshort-termfundingsuchasdepositsandcommercialpapertofundlong-termassetsLiquidityriskisever-presentinabank,butsevereliquiditycrisestypicallyresultfromseverecredit,market,oroperationalriskeventsLiquidityRiskisthePotentialofHavinganUnexpectedShortfallforMeetingPaymentObligations99©2010QuantitativeRiskManagement,Inc.金融中介的业务充满了流动性风险银行是存款人和借款人的流动性提供者所有银行都用短期资（如存款和商业票据）投资长期资产银行始终存在流动性风险，但是严重的流动性风险通常都是严重的信用风险、市场风险和操作风险事件造成的流动性风险有造成无法预期的支付亏空的可能1010©2010QuantitativeRiskManagement,Inc.FundingTheinabilityofaninstitutiontomeetpaymentobligations,bothwhenrepayingdebtandwhenfundingloancommitmentsPrimarysourceofliquidityriskforabankAssetMarketAriseswhenatransactioncannotbeconductedateconomicvalueduetothesizeofthepositionrelativetocurrenttradinglotsThisriskvariesacrosscategoriesofassetsandacrosstimeasafunctionofprevailingmarketconditionsForexample,auctionratemarketCanoccurindependentlyormaybetriggeredbytheonsetoffundingriskBanksAreParticularlySusceptibletoTwoTypesofLiquidityRisk1111©2010QuantitativeRiskManagement,Inc.筹集资金通常在需要偿还债务和履行贷款承诺时，银行无力支付银行流动性风险的主要来源资产市场在当前交易条件下，交易无法实现经济价值风险会随着资产的种类和时间的不同伴随着市场形态变化比如，拍卖市场可能独立发生，也可能由融资风险引起银行特别敏感的两种流动性风险1212©2010QuantitativeRiskManagement,Inc.UnderstandingYourBalanceSheetExposureIsKeytoUnearthingLiquidityRiskAssetsLiabilitiesOff-BalanceSheetInstitutionBearStearns,LehmanBros,LTCM,AIGContinentalIllinoisAmeriquest,KaupthingUS/UKComm’lbanksNorthernRockCounterpartyExposureIndustryExposureProductExposureFundingSourceUnfundedCommitments&TriggersToconstructliquiditystressscenariostailoredtoyourinstitution,anintimateunderstandingofthebalancesheetisrequired1313©2010QuantitativeRiskManagement,Inc.理解资产负债表是发现流动性风险的前提资产负债表外业务银行BearStearns,LehmanBros,LTCM,AIGContinentalIllinoisAmeriquest,KaupthingUS/UKComm’lbanksNorthernRock交易双方风险暴露行业风险暴露产品风险暴露融资渠道非偿还性承诺及触发值要构建符合银行的流动性压力场景，必须具有对资产负债表的深刻理解1414©2010QuantitativeRiskManagement,Inc.Bank-specificevents,suchasacreditratingdowngrade,canleadtofundingdry-upsandassetput-backs,butborrowersofthebankwillcontinuetodemandfundsonabusiness-as-usualbasisDirectsourceofliquidityriskSystemicriskscanleadtofundingdry-upsaswellasincreaseddemandforfundsbyborrowersIndirectsourceofliquidityriskinthatsystemicstressestypicallyoriginatefromseveremarketrisk,credit,oroperationaleventsLiquidityRiskCanMaterializefromaName-SpecificorSystemicStressEvent1515©2010QuantitativeRiskManagement,Inc.涉及单个银行的具体事件，如信用等级下降，可能导致融资紧张和资产回撤表内，而存款人仍会按日常需要提取资金。是流动性风险的直接源头系统风险可能导致融资紧张以及借款人更多的资金需要是流动性风险的间接源头，系统压力多来自于严重的市场风险、信用或操作风险具体或系统性的压力事件使流动性风险具体化1616©2010QuantitativeRiskManagement,Inc.SevereLiquidityRiskCanResultDirectlyfromaLiquidityShockorIndirectlyfromOtherRiskEventsIdiosyncraticLiquidityRiskMarketShockCreditShockSystemicLiquidityShockOperationalShockFundingShockFinancialcrisesmayultimatelyleadtoaliquiditycrisisthatmightbesolvedthrougheithertheissuance/borrowingofnewcapital(liquidityfundingrisk)orthesaleofassets(assetmarketrisk)1717©2010QuantitativeRiskManagement,Inc.流动性风险可以由流动性冲击直接导致，或间接的由的其它风险事件导致单一性银行的流动性风险市场冲击信用冲击系统流动冲击操作冲击融资冲击金融危机可能最终导致流动性危机，只能通过发行/借入新资金（融资流动性风险）或出售资产（资产市场风险）解决1818©2010QuantitativeRiskManagement,Inc.IdentifyingandManagingLiquidityRiskI.LiquidityRiskDefinedII.RecentEventsinLiquidityRiskIII.ChallengesinLiquidityRiskManagementIV.MeasuringLiquidityRiskV.ManagingLiquidityRiskVI.Summary1919©2010QuantitativeRiskManagement,Inc.流动性风险的识别和管理I.流动性风险的定义II.流动性风险的近况III.流动性风险管理的挑战IV.流动性风险的度量V.流动性风险的管理VI.总结2020©2010QuantitativeRiskManagement,Inc.$0$50$100$150$200$250$300$350$400$4502007Q12007Q22007Q32007Q42008Q12008Q22008Q32008Q42009Q12009Q22009Q32009Q4BillionsIssuedGlobalSecuritizationIssuanceUSDEuroAreaDiagramofaLiquidityCrisis–SystemicIssueswithSubprimeLendingCuttheSecuritizationMarketDowntoSizeSource:Europ