《巴塞尔协议》构建了三大风险管理的支柱体系，分别从资本充足能力、监管检查、 市场纪律三个方面向商业银行提出监管规范，是巴塞尔委员会制定的在全球范围内主要 的银行资本和风险监管标准。目前大多数银行将主要精力聚焦于巴塞尔协议第一支柱下 的风险量化领域，通过对商业银行的信用风险、市场风险和操作风险计提加权风险资产 并做出相应的资本规划。而第二支柱下的流动性风险由于缺少统一适用的计量及评估标 准，目前并未纳入加权风险资产的计提中。近年来，我国银保监会越来越重视流动性风 险的监管，并结合中国国情设计了5个流动性监管指标及9个流动性监测指标，并逐步 探索流动性风险的统一计量和评估标准。 1104报表的全称是“银保监会非现场监管报表”，从2003年发展至今日，该报表体 系已日趋成熟，但随着我国金融市场的瞬息万变和各项监管办法出台，1104报表体系几 乎每年都有重大革新。 2018年5月我国银保监会发布的《商业银行流动性风险管理办法》中，规定了流动 性风险管理的九大程序，而流动性风险识别、计量和监测是九大程序中的重点。1104 报表中用于计量和监测流动性风险的报表共有七张，通过这七张流动性风险类监管报表 可准确计算出银保监会设定的5个监管指标和9个监测指标。但如果监管当局或者商业 银行脱离了1104报表，仅仅依靠这14个指标做流动性风险分析，得出的结论或许与实 际情况大相径庭。本文以1104报表的流动性风险类监管报表为基础，选取A商业银行 为案例研究对象，通过设计不同的压力情景对A商业银行进行流动性压力测试，分析和 总结A商业银行存在的流动性风险问题。 本文通过运用对比分析法、案例分析法、压力测试法等科学方法及当前的金融监管 理论，尝试评价1104报表对A商业银行流动性风险的监管效果，并针对A商业银行的 流动性风险问题提出改进方案，以便给商业银行的流动性风险管理提供参考及借鉴。 关键词：1104报表；金融监管；流动性风险；银保监会 II ABSTRACT Basel Accords, established by the Basel Committee, are a series of world-wide banking regulation standards on capital of major banks and their risks regulation. Basel Accords has built three main risk management systems by now, putting forward supervising standards for commercial banks from capital adequacy, risk-based surveillance and market discipline. Most domestic banks are focusing on risk quantification under the first risk management of Basel Accords now, by calculating and withdrawing risk-weighted assets for credit risks, market risks and operational risks of commercial banks, as well as making corresponding regulatory capital and economic capital planning. However, liquidity risks under the second risk management of Basel Accords are not included in the accrual of risk-weighted assets owing to no objective measurements and evaluation criteria. In recent years, China Banking and Insurance Regulatory Commission have attached more and more importance to the supervision of liquidity risks. Furthermore, China has also set up five liquidity regulatory indicators and nine liquidity monitoring indexes based on China's national conditions, and will explore unified measurements and evaluation criteria of liquidity risks step by step. 1104 Statements, whose full name is Non-onsite regulatory statements of China Banking and Insurance Regulatory Commission, has become more integrated since it was first released in 2003. Nonetheless, due to the constant change of the financial market in China, and various regulatory measures been introduced, 1104 Statements system has been making significant innovations these years. Measures for liquidity risk management of commercial banks issued by China Banking and Insurance Regulatory Commission in May, 2018 stipulated nine procedures of the liquidity risk management. Among all procedures, liquidity risk identification, measurement and monitoring are the most important. There are seven statements used to measure and monitor liquidity risks in 1104 Statements. The five liquidity regulatory indicators and nine liquidity monitoring indexes set up by China Banking and Insurance Regulatory Commission can be accurately calculated through these seven statements. However, during actual supervision, if regulatory authorities or commercial banks analyze liquidity risks apart from the 1104 Statements, and only rely on those five liquidity regulatory indicators and nine liquidity monitoring indexes, conclusions may be quite different from the authentic result. Based on liquidity risk regulatory statements in 1104 Statements, I will select Commercial Bank A as a case research in this paper. By assuming that Commercial Bank A is under different kinds of liquidity stress, I will analyze the liquidity risks in Commercial Bank A. III Throughout this paper, comparative analysis, case analysis method, method of stress testing and some current financial regulation theories are used to evaluate the supervision effect of 1104 Statements on Commercial Bank A. I will also bring forward some improvement projects according to liquidity risks in Commercial Bank A, and to provide other commercial banks with references on liquidity risk management. Keywords: 1104 Statements, financial regulation, liquidity risks, China Banking and Insurance Regulatory Commission IV 目 录 摘要 ............... I ABSTRACT .. II 目 录 ............ IV 图表清单 ... VIII 第一章 绪论 .. 1 1.1 研究背景 ............................ 1 1.2 研究目的和意义 ................ 1 1.2.1 研究目的 ..................... 1 1.2.2 研究意义 ..................... 2 1.3 研究内容与研究方法 ........ 3 1.3.1 研究具体内容 ............. 3 1.3.2 拟解决的关键问题 ..... 3 1.3.3 研究方法 ..................... 4 1.4 本章小结 ............................ 5 第二章 理论基础及文献综述 ..... 6 2.1 流动性理论 ........................ 6 2.1.1 流动性风险的定义 ..... 6 2.1.2 流动性理论的发展 ..... 6 2.2 金融监管有效性理论 ........ 7 2.2.1 负外部性金融监管理论 ............................ 7 2.2.2 公共利益理论 ............. 7 2.2.3 金融脆弱性理论 ......... 7 2.3 国内外流动性风险研究现状 ........................... 8 2.3.1 国外流动性风险研究现状 ........................ 8 2.3.2 国内流动性风险研究现状 ........................ 8 2.4 流动性风险管理体系与非现场监管 ............... 9 2.4.1 流动性风险的三道防线 ............................ 9 2.4.2 非现场监管及非现场监管报表 .............. 10 V 2.5 1104流动性风险报表与指标说明 ................. 12 2.5.1 1104报表中的流动性风险报表 .............. 12 2.5.2 流动性风险监管指标 .............................. 12 2.5.3 流动性风险监测指标 .............................. 15 2.6 本章小结 .......................... 16 第三章 A商业银行的基本情况及流动性风险管理体系 ..................... 17 3.1 A商业银行基本情况 ....... 17 3.2 A商业银行的经营情况 ... 17 3.2.1 A商业银行资产负债情况 ....................... 17 3.2.2 A商业银行盈利能力 18 3.2.3 A商业银行补充财务指标 ....................... 18 3.3 A商业银行的流动性风险管理体系 .............. 19 3.3.1 A商业银行流动性风险管理组织架构 ... 20 3.3.2 A商业银行的流动性风险管理手段 ....... 21 3.3.3 A商业银行的流动性风险应急措施 ....... 21 3.4 本章小结 .......................... 22 第四章 基于A商业银行1104报表的流动性风险分析 ...................... 23 4.1 压力测试基础与情况假设 ............................. 23 4.1.1 压力测试基础 ........... 23 4.1.2 压力测试的流动性报表选择分析 .......... 23 4.1.3 压力测试情况假设 ... 26 4.2 A商业银行的流动性缺口分析 ...................... 27 4.2.1 A商业银行的《流动性期限缺口统计表》情况分析 .......... 27 4.2.2 基于《G21流动性期限缺口统计表》的压力测试 ............. 28 4.2.3 流动性缺口压力测试结果分析 .............. 29 4.3 A商业银行的流动性比例分析 ...................... 30 4.3.1 A商业银行的《G22流动性比例监测表》情况分析 .......... 30 4.3.2 基于《G22流动性比例监测表》的压力测试 ..................... 31 4.3.3 流动性比例压力测试结果分析 .............. 31 4.4 A商业银行的流动性覆盖率分析 .................. 32 VI 4.4.1 A商业银行的《G25-1流动性覆盖率情况表》情况分析 ... 32 4.4.2 基于《流动性覆盖率情况表》的压力测试 ......................... 33 4.4.3 流动性覆盖率压力测试结果分析 .......... 34 4.5 A商业银行的净稳定资金比例分析 .............. 35 4.5.1 A商业银行的《G25-2净稳定资金比例》情况分析 ........... 35 4.5.2 基于《净稳定资金比例》的压力测试 .. 37 4.5.3 净稳定资金比例压力测试结果分析 ...... 37 4.6 A商业银行的优质流动性资产充足率分析 .. 38 4.6.1 A商业银行的