文档介绍：山西财经大学
硕士学位论文
中国国有商业银行流动性风险测度与防范
姓名:王锐
申请学位级别:硕士
专业:金融学
指导教师:李锁云
2011
摘要

自从年,我国加入以来,中国金融体制改革进入一个崭新的阶段。随着金融业
混业经营的发展和外资银行的进入,我国金融业将面临着越来越严峻的竞争形势。为了适应
竞争,我国金融业的主体—银行业,特别是国有商业银行必须进行全面的改革,提升自己的
实力,才能发展壮大。由于本文研究内容的要求,将仅对国有商业银行流动性风险管理这一
块进行论述。
流动性,安全性,盈利性是商业银行赖以生存的基础。尤其是流动性它是商业银行的生
命线。商业银行只有提供充足的流动性才能更好的满足提款者的要求和贷款者的适当贷款要
求,才能确保其安全,才能谈的上盈利。但从目前来看,国有商业银行的流动性状况令人忧
虑。国有商业银行在资本金、负债、资产,以及对宏观环境变化的应变能力方面都面临着很
大的流动性风险。
本文正是基于对以上国有商业银行流动性风险现实判断的基础上,进一步展开了分析。
首先,通过对流动性供给和需求的分析,明确了流动性风险的成因,分别从表面成因和深层
次成因两个方面进行了论述。然后,结合成因分析,分别从微观和宏观两个层面对国有商业
银行的流动性风险进行了测度,并且分别利用了静态指标法、相关系数法、计量模型等方法
对流动性风险的影响程度加以量化确认。最后得出结论,并提出防范流动性风险的措施和建
议。
希望通过本文的分析,能对国有商业银行的管理者和风险决策人员防范流动性风险提供
一些参考。

【关键词】国有商业银行,流动性,流动性风险,流动性缺口

III
Since China formally participated in WTO in 2001, the reform of financial
system in China has entered a new stage. But, as far as the state
commercial bank is concerned, the reform just began. Entering the WTO,
the mercial bank will inevitably meet the petition
of foreign financial institution that have scientific management, advanced
method, strict risk regulation and control. In the petition, is
mercial bank ready? The answer is negative. We not only do not
prepare for it enough, but also face very austere situation. Born of the old
designed economic regulation system, with the transformation of the
function of the government, the owned limitation of the mercial
bank begin to expose. These limitation, including disordered property
right, unscientific management, feeble risk consciousness and so on,
seriously restrict the further development and mightiness of the state
commercial bank. At the same time, these limitation often tangle together,
the settlement of any limitation must be carried out by the numbers. In the
text, according to the requirement, the author will only discuss the
management of liquidity risk.
Liquidity, safety and profitability are the existen