II 摘要 流动性风险是指商业银行无法在不增加成本或资产价值的条件下及时满足 流动性需求的可能性，具体表现为商业银行没有足够的资金来满足客户正常的 贷款需求、提取存款的需求以及偿付银行自身的到期债务，从而给商业银行带 来损失，甚至破产倒闭的可能性。流动性风险具有隐蔽性强、危害性大的特点。 近年来，随着我国金融市场的进一步发展，商业银行流动性风险的传染性和破 坏性大幅增强。因此，强化流动性风险管理机制的建设就成为了商业银行日常 管理工作的重点，对于风险防控能力相对薄弱的农村商业银行而言，增强自身 的流动性风险管理能力具有极其重要的现实意义。 本文通过对一家典型的农村商业银行____DY农村商业银行的流动性风险管 理状况以及风险水平进行研究，总结该银行在流动性风险管理方面存在的问题 以及形成问题的原因，并根据目前主流的流动性风险管理理论和策略，提出进 一步提升DY农商银行流动性风险管理水平的建议，希望能够通过研究，促进DY 农商银行改善自身的流动性风险管理能力，也为其他农村商业银行提供参考。 在研究思路方面，本文先分析比较国内外学者的研究成果，构建研究DY农 村商业银行流动性风险管理状况的理论框架；其次是分析DY农村商业银行的流 动性风险水平和流动性风险管理策略；再次，以实证分析结果为基础，结合商 业银行流动性风险管理理论和策略，总结DY农村商业银行在流动性风险管理方 面存在的短板和不足，查找形成问题的原因；最后，提出具有针对性的改进DY 农村商业银行流动性风险管理能力的对策及措施，力求改善该银行的流动性管 理状况，全面提升其抵御风险的能力。 关键词：农村商业银行；流动性风险；风险管理 Abstract III Abstract Liquidity risk refers to the possibility that a commercial bank cannot meet the liquidity needs in a timely manner without increasing costs or asset values. The specific manifestation is that the commercial bank is unable to provide sufficient funds to meet the increased demand for assets, or fulfill debt. Liquidity risk has the characteristics of strong concealment and great harm. In recent years, as China's financial market continues to develope, commercial banks have encountered some problems in the management of liquidity risk. The destructive of liquidity risk to commercial banks has also increased significantly. Therefore, enhancing the effectiveness of liquidity risk management has become a emphasis that commercial banks must pay close attention to, especially for rural small and medium-sized corporate banks represented by rural commercial banks This paper takes the typical representative of rural commercial bank —DY Rural Commercial Bank as the research object, and through a comprehensive analysis of the bank's liquidity level and liquidity management situation, find out the defects in DY Rural Commercial Bank's liquidity risk management,and the cause of problems, then based on the current mainstream liquidity risk management theories and strategies, put forward targeted improvements and suggestions to further improve the liquidity risk management level of DY Rural Commercial Bank, and also for local similar types of business as a reference. This paper starts with the composition of the basic theories and methods of liquidity risk management of commercial banks. Based on the analysis and comparison of domestic and foreign research results, this paper constructs a theory to study the liquidity risk management status of DY Rural Commercial Banks. The second is to analyze the flow of DY Rural Commercial Bank’s risk management systems and methods，and then make full use of the information system of regulatory authorities, analyze the current status of DY Rural Commercial Banks, the influence factors of liquidity by using various data indicators;again, summarize the problems and deficiencies of DY Rural Commercial Banks in liquidity risk management, such Abstract IV as flaws in the management system, deficiencies in asset and liability management, and the invalid liquidity risk monitoring methods, etc., find out the cause of specific problems; Finally, combined with liquidity risk management theory, put forward targeted countermeasures and suggestions for improving the liquidity risk management level of DY Rural Commercial Bank, and strive to improve the bank's liquidity management status, comprehensive its ability to resist risk. Key words: rural commercial banks; liquidity risk; risk management 目录 V 目录 第一章 导论 ............................................. 1 1.1 研究背景及意义 ................................................ 1 1.1.1研究的背景 ......................................................... 1 1.1.2研究的意义 ......................................................... 1 1.2 文献综述 ...................................................... 2 1.2.1对商业银行流动性风险成因的研究 ..................................... 2 1.2.2对商业银行流动性风险衡量方法的研究 ................................. 3 1.2.3对商业银行流动性风险管理方法的研究 ................................. 4 1.3 文献评述 ...................................................... 4 1.4 研究思路及方法 ................................................ 5 1.4.1研究思路 ........................................................... 5 1.4.2研究方法 ........................................................... 5 1.5 本文的创新及不足之处 .......................................... 6 第二章 商业银行流动性风险管理理论 ........................ 7 2.1 商业银行风险管理的基本方法 .................................... 7 2.2 商业银行流动性风险概述 ........................................ 8 2.2.1商业银行的流动性 ................................................... 8 2.2.2商业银行的流动性风险 ............................................... 9 2.3 商业银行流动性风险管理基本理论 ............................... 10 2.4 商业银行流动性风险管理基本策略 ............................... 11 第三章 DY农商银行的流动性风险管理状况及风险水平 ......... 12 3.1 DY农商银行的经营状况 ........................................ 12 3.2 DY农商银行的流动性风险管理治理结构 .......................... 15 3.3 DY农商银行的流动性风险管理策略 .............................. 17 3.4 DY农商银行的流动性风险指标说明 .............................. 20 3.5 DY农商银行的流动性风险指标分析 .............................. 22 3.5.1流动性比例 ........................................................ 22 目录 VI 3.5.2优质流动性资产充足率 .............................................. 23 3.5.3流动性匹配率 ...................................................... 24 3.5.4流动性缺口率 ...................................................... 26 3.5.5核心负债比例 ...................................................... 27 3.5.6存贷款比例 ........................................................ 29 3.6 DY农商银行流动性风险的影响因素分析 .......................... 31 3.6.1流动性风险影响因素的变量选择 ...................................... 31 3.6.2变量的描述性统计 .................................................. 32 3.6.3模型介绍与检验 .................................................... 33 3.6.4检验结论 .......................................................... 35 3.7 DY农商银行的流动性压力测试情况 .............................. 35 3.7.1压力测试风险因素及情景设置 ........................................ 36 3.7.2压力测试方法及结果分析 ............................................ 37 第四章 DY农商银行流动性风险管理存在的问题及原因 ......... 42 4.1 DY农商银行流动性风险管理存在的问题 .......................... 42 4.1.1流动性风险管理治理体系存在缺陷 .................................... 42 4.1.2资产负债管理存在不足 .............................................. 43 4.1.3流动性风险管理流程不完善 .......................................... 48 4.2 DY农商银行流动性风险管理问题的原因 .......................... 51 4.2.1缺乏现代风险管理意识 .............................................. 51 4.2.2风险管理人才储备不足 .............................................. 52 4.2.3流动性风险管理的定位不明晰 ........................................ 52 第五章 改进DY农商银行流动性风险管理水平的建议 .......... 53 5.1 建立有效的流动性风险管理体系 ................................. 53 5.2 提高全体员工的风险管理意识，强化人才储备 ..................... 54 5.3 改善信贷管理方法 ............................................. 55 5.3.1优