银行流动性风险度量与管理研究

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1、天津大学博士学位论文银行流动性风险度量与管理研究姓名：郭德维申请学位级别：博士专业：管理科学与工程指导教师：詹原瑞20090801ABSTRACTThecurrentfinancialcrisisnotonlycausesthedeclineoftheworldeconomicsandtheturbulenceofthefinancialsystem，alsoprovestheexcessiveliquiditycouldcausethehugeharmfortheeconomicdevelopment．Thisfinancial

2、crisiswhichevolvedfromtheUSsub-primemortgagecrisishasgivennewchallengestothebank’Sliquidityriskmeasurementandmanagement．TheBaselCommitteeonBankingSupervisionPointedoutthatliquiditymanagementisthemostcriticaltasksinbanking．Abankmustmaintainacertaindegreeofliquidity,oth

3、erwisewillfacethebankruptevenifwiththesolvencyincapital．Sincethefullopeningfrom2007，China’Sbankingindustryhasbeenincorporatedintotheglobalcompetitionandrulesandfacinggreaterchallenges，amongwhich，theliquidityriskmeasurementandmanagementisthemostimportantaspects．Theconc

4、eptofliquidityriskmanagementstrategies，methods．meansandtechnicallevelsinChinabanksarelaggingbehindothers．Asystematicresearchonthebankliquidityriskisjustatthestartingpoint．Therefore，asystematicsummaryoftheinternationaladvancedliquidityriskmeasurementandmanagementtheory

5、isofgreattheoreticalandpracticalsignificancetOresearchonChinesebankingliquidityrisksystemicallyandthoroughly．Thispapersystematicallydiscussestheadvancedtheoryandresearchofcurrentbankingliquidityriskmeasurementandmanagementinthemethodoftheoretical，empiricalandcasesstud

6、y．HaveconductedtheresearchtoChinaBank’Sliquidityriskmeasureandthemanagement，Iputforwardsuggestionsforimprovement．Thethreeinnovationpointsinthispaperareasfollows：●Usingofdetailedandaccurateup-to-datedataonChina’Sbankscomprehensivelyonliquidityriskanalysisandquantitativ

7、eempiricalresearchanddrawtheconvincingconclusions．Usingavarietyofindicatorsofliquidity,throughthehistoryofverticalandhorizontalanalysisoftheindicators，thispaperdrawstheconclusionsofthecertainextentexcessliquidityinChina．Thisarticlehasdifferentiatedthemacroscopicandthe

8、microscopicconceptofLiquidity，inparticular,pointedout：Atpresentourcountry’Sexcessliquidityisonekindofmacroscopiccurrencyphen