主權(quán)風險流動性風險-資料下載頁
2025-04-30 18:18本頁面
【正文】 融資缺口和持有的流動資產(chǎn)越大，它需要從貨幣市場借入的資金數(shù)量越大，因此承受的流動性風險也就越大。n 融資缺口增大是銀行未來流動性問題的警報，貸款者將關(guān)注銀行的信用狀況，可能對借出資金要求更高的風險溢價或更嚴格的信用限額 巴塞爾方法 BIS Approach n Maturity ladder/Scenario Analysisq For each maturity, assess all cash inflows versus outflowsq Daily and cumulative funding requirements can be determined in this mannerq Must also evaluate “what if” scenarios in this framework巴塞爾方法確定凈資金要求 到期日階梯 Maturity ladder流動性管理 流動性計劃 Liquidity Planningn 流動性計劃的構(gòu)成n 描述流動性管理內(nèi)容和職責 n 列出最有可能提款的存款人和季節(jié)性提款 seasonal effects n 潛在存款規(guī)模和未來各個時點的資金流出（一周、一個月、一年等）和填補這些流出的可供選擇的資金來源 n 分支機構(gòu)借入的內(nèi)部限額和在各種市場（同業(yè)市場、回購市場、大額存單市場等）支付的可接受的風險溢價的限度。 累計融資缺口銀行流動性計劃中的存款分布及預(yù)期取款未預(yù)期的存款外流和銀行擠兌 Bank Runs n 對一家銀行相對其它銀行的清償能力的擔心 concern about bank’s solvency.n 相關(guān)銀行的倒閉導(dǎo)致存款人對其他銀行清償能力擔心的增加（擴散影響） Failure of a related FI 。n 投資傾向的突然轉(zhuǎn)變， Sudden changes in investor preferences.n 先到先得， Demand deposits are first e first served. Depositor’s place in line matters.n 銀行恐慌， Bank panic: systemic or contagious bank run銀行擠兌與當局的措施 Alleviating Bank Runs擠兌的核心問題： 活期存款契約具有 “ 先來先償還 ” 的性質(zhì)防范流動性風險的措施 存款保險 FDIC和貼現(xiàn)窗口制度 Discount windowNot without economic costs.q FDIC protection can encourage DIs to increase liquidity risk.其他金融機構(gòu)的流動性風險Liquidity Risk for Other FIsq 人壽保險公司 Life Cos. Hold reserves to offset policy cancellations. The pattern is normally predictable.q 財產(chǎn)意外保險公司 Problem is less severe for Pamp。C insurers since assets tend to be shorter term and more liquid.n However, spikes in claims can be problematic. Hurricane Andrew precipitated 11 bankruptcies and wholesale restructuring of Florida insurance. Claims due to sequence of hurricanes Charlie, Frances, Ivan, and Jeanne (fall 2022) as large as losses from Andrew.投資基金 Investment Fundsn Mutual funds, hedge fundsq Net asset value (NAV) of the fund is market value. q The incentive for runs is not like the situation faced by banks. q Asset losses will be shared on a pro rata basis so there is no advantage to being first in line.n Hedge funds implicated in some severe liquidity crisesq Example: Long Term Capital Management 思考
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