识别和管理流动性风险(银监会罗平)

Identifying and Managing Liquidity Risk

0

Chicago | London | Singapore © 2010 Quantitative Risk Management, Inc.

流动性风险的 识别与管理

1

芝加哥 | © 2010 Quantitative伦敦 | Management, Inc. Risk 新加坡

“Every banker knows that if he has to prove that he is worthy of credit, however good may be his argument, in fact the credit is already gone.”Lombard Street: A Description of the Money Market by Walter Bagehot (1877)

2

© 2010 Quantitative Risk Management, 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)

3

© 2010 Quantitative Risk Management, Inc.

Identifying and Managing Liquidity RiskI. Liquidity Risk Defined

II. Recent Events in Liquidity RiskIII. Challenges in Liquidity Risk Management IV.Measuring Liquidity Risk V. Managing Liquidity Risk VI.Summary

4

© 2010 Quantitative Risk Management, 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

5

© 2010 Quantitative Risk Management, Inc.

Identifying and Managing Liquidity RiskI. Liquidity Risk Defined

II. Recent Events in Liquidity RiskIII. Challenges in Liquidity Risk Management IV.Measuring Liquidity Risk V. Managing Liquidity Risk VI.Summary

6

© 2010 Quantitative Risk Management, 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

7

© 2010 Quantitative Risk Management, Inc.

Liquidity Risk is the Potential of Having an Unexpected Shortfall for Meeting Payment ObligationsBusiness of financial intermediation is fraught with liquidity risk Banks are liquidity providers for both depositors and borrowers All banks use short-term funding such as deposits and commercial paper to fund long-term assets Liquidity risk is ever-present in a bank, but severe liquidity crises typically result from severe credit, market, or operational risk events

8

© 2010 Quantitative Risk Management, Inc.

流动性风险有造成无法预期的支付亏空的可能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

9

© 2010 Quantitative Risk Management, Inc.

Banks Are Particularly Susceptible to Two Types of Liquidity RiskFundingThe inability of an institution to meet payment obligations, both when repaying debt and when funding loan commitments Primary source of liquidity risk for a bank

Asset MarketArises when a transac

tion cannot be conducted at economic value due to the size of the position relative to current trading lotsThis risk varies across categories of assets and across time as a function of prevailing market conditions For example, auction rate market

Can occur independently or may be triggered by the onset of funding risk

10

© 2010 Quantitative Risk Management, Inc.

银行特别敏感的两种流动性风险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

11

© 2010 Quantitative Risk Management, Inc.

Understanding Your Balance Sheet Exposure Is Key to Unearthing Liquidity RiskInstitution

Assets

Liabilities

Off-Balance Sheet

Continental Industry Exposure Illinois

Ameriquest, Product Kaupthing Exposure

Northern Funding Source Rock

Unfunded Commitments US/UK & Comm’l banks Triggers

Bear Counterparty Stearns, Lehman Bros, Exposure LTCM, AIG

To construct liquidity stress scenarios tailored to your institution, an intimate understanding of the balance sheet is required12

© 2010 Quantitative Risk Management, Inc.

理解资产负债表是发现流动性风险的前提银行 表外业务

资产

负债

Continental 行业 Illinois 风险暴露

Ameriquest, 产品 Kaupthing 风险暴露

Northern 融资渠道 Rock

非偿还性承诺 US/UK 及触发值 Comm’l banks

Bear Stearns, 交易双方 Lehman Bros, 风险暴露 LTCM, AIG

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© 2010 Quantitative Risk Management, Inc.

13

Liquidity Risk Can Materialize from a NameSpecific or Systemic Stress EventBank-specific events, such as a credit rating downgrade, can lead to funding dry-ups and asset put-backs, but borrowers of the bank will continue to demand funds on a business-as-usual basisDirect source of liquidity risk

Systemic risks can lead to funding dry-ups as well as increased demand for funds by borrowersIndirect source of liquidity risk in that systemic stresses typically originate from severe market risk, credit, or operational events

14

© 2010 Quantitative Risk Management, Inc.

具体或系统性的压力事件使流动性风险具体化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 …… 此处隐藏：2333字，全部文档内容请下载后查看。喜欢就下载吧 ……