商业银行流动性风险、信用风险与偿付能力风险

被引：21

作者：

刘志洋

机构：

[1] 东北师范大学经济学院

来源：

中南财经政法大学学报 | 2016年 / 03期

基金：

中国博士后科学基金;

关键词：

流动性风险; 信用风险; NSFR; 银行违约概率; 金融风险;

D O I：

暂无

中图分类号：

F832.33 [商业银行（专业银行）];

学科分类号：

1201 ; 020204 ;

摘要：

流动性风险与信用风险是商业银行面对的主要风险类型,研究二者的相互关系及对商业银行经营的影响具有重要实践意义。实证分析表明,反映中国商业银行整体流动性风险的流动性创造指标会显著影响银行信用风险,但表示银行融资流动性风险的NSFR比率不会影响商业银行信用风险;信用风险对银行流动性风险的影响不显著。本文实证分析也从侧面证明银行资产流动性风险对银行信用风险影响较高,因为二者都与银行账面资产有关。实证分析还表明中国银行业存在"大而不倒"的现象,但本文认为这种"大而不倒"的现象本质来源是政府承担了商业银行流动性风险和信用风险的管理任务,因此商业银行自身应该从流动性风险和信用风险交互作用角度做好风险管理,降低银行风险。

引用

页码：52 / 59+159 +159-160

页数：10

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