| The impact of liquidity risk is evident in the 2008 subprime mortgage crisis(such as the failure of Bear Stearns and Lehman Brothers)and the 1998 US hedge fund events.The financial crisis exposed many banks,including the lack of available liquidity assets held by large US banking institutions,as well as the significant shortcomings of the existing capital requirements of these banks.When banks’ unsecured borrowing capacity is severely constrained,banks may have significant value losses or even defaults and require cash in the short term through their portfolios in non-mobile secondary markets.The Basel Committee has supplemented two regulatory standards: liquidity coverage(LCR)and net stable financing ratio(NSFR)for the lack of liquidity in large banks in the 2008 crisis.The LCR is given short-term recovery to ensure that banks have sufficient high-quality mobile assets which can help survive for a month’s severe stress.NSFR is based on the required amount of stable funds to set the amount of stable funds to avoid the banks on the short-term wholesale financing over-reliance.It is clear that the Basel Committee has not incorporated the bank’s capital adequacy ratio and liquidity risk measure into a conceptual framework.The main reason for this is that the two can not be well integrated.The reason is that the capital adequacy ratio is static and can not correspond well to the dynamic characteristics and other dynamic factors of liquidity risk.Secondly,although the ability of a bank to withstand liquidity risk is related to its capital and the amount that can absorb the loss,some banks in the crisis may not have enough liquidity assets available for sale.However,since capital requirements and economic capital are important management and control tools in the banks and are also signaling tools in the financial world,it is necessary to adjust the standard capital adequacy ratio framework for certain concepts of liquidity risk,combining these two concepts together is pragmatic.Based on the above ideas,under the inspiration of Acerbi and Scandolo(2008)and others,this paper provides a mathematical framework to introduce economic capital into the measure of liquidity risk.By introducing the concept of liquidity costs as a lack of liquidity at the level of the balance of banks,this leads to the concept of liquidity adjustment risk measures defined on assets and liabilities.The current domestic research on the liquidity risk of commercial banks uses a liquidity adjustment method similar to that of stock return volatility.The index usually chooses the stock price of the listed bank.However,due to the particularity of the commercial nature of the commercial banks,the stock value can not be well on behalf of the bank’s own asset value.In contrast,this paper describes the risk from the perspective of the balance sheet,and through the concept of liquidity demand function internalization of financing risk,which can well capture the characteristics of commercial banks,the inherent liquidity risk.At the same time,according to the proposed mathematical model of risk adjustment,this paper carries out the model in the semi-realistic economic environment.In the specific calculation process,the bank’s capital loss as a mixed variable,and the use of credit risk,market risk and operational risk of the marginal risk model to describe the bank’s financing risk.After the Copula fitting model was used,the EC was calculated.The proposed approach may be a useful complement to the management of liquidity risk toolbox by bank managers and regulators,and can be used as a reference for future research. |
