摘要
本文从商业银行流动性资产储备、负债结构和稳定性、期限结构错配程度、资产安全性和市场融资能力五个维度选择15个流动性风险的基础评价指标,基于因子分析法提炼出流动性风险的主要影响因素,构建商业银行流动性风险综合评价模型。论文以16家上市银行2011年的年末数据进行实证分析,结果显示:大型商业银行得益于市场地位的优势,总体流动性风险最低;城市商业银行由于积极进行流动性风险管理,总体流动性风险次之;其他股份制银行既缺少"主动负债"的优势,经营业绩也相对要差,因而流动性风险相对最高。
From five dimensions, i.e. the reserve of liquid assets, the liability structure and stability, the degree of mismatch of term, the asset security and the market financing capacity of commercial bank, this paper selects 15 fundamental indicators to evaluate liquid risks. Based on the factor analysis method, the paper obtains main factors to affect liquid risks and constructs a comprehensive model to evaluate the liquidity risks of commercial banks. With the data of 16 listed banks at the end of 2011, the paper presents an empirical analysis. The results show that, due to the advantages in market, the large commercial banks have the lowest risks of overall liquidity; due to the positive management of liquidity risks, the city commercial banks have the second-low risks; other joint-stock banks lack the＂positive liability＂ advantages and their performance of operation is relatively worse, so their liquidity risks are relatively the highest.
出处
《金融论坛》
CSSCI
北大核心
2013年第1期15-19,共5页
Finance Forum
基金
教育部人文社会科学研究一般项目"银行信贷行为的顺周期性与资本监管改革研究"(10YJC790403)
广东省哲学社会科学规划项目"我国商业银行流动性风险的评价与预警研究"(09E-28)的资助
关键词
上市银行
流动性风险
风险评价
风险管理
listed bank
liquidity risk
risk evaluation
management of risk
