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讲座预告 | A new approach to measuring banks' liquidity risk

发布时间:2018-10-15    来源:



讲座题目:A new approach to measuring banks’ liquidity risk 基于全局博弈的银行流动性风险测度方法

主讲人:Yunbi An


Yunbi An教授是加拿大皇后大学金融学博士,现任加拿大温莎大学Odette商学院金融学教授,其主要研究领域包括公司财务金融、资产组合选择与资产组合保险、风险管理等。曾在Financial Management, Journal of Banking and Finance, Journal of International Money and Finance, Small Business Economics和Journal of Futures Markets等国际期刊发表论文三十多篇。安教授的学术成果得到了国内外金融理论与实务界的广泛承认,多次受邀参加EFMA, EFA, MFA, 以及NFA等举办的金融学年会,并担任许多国际著名期刊的审稿专家。



We propose a new approach to evaluating a bank’s liquidity needs, which is not only well-grounded theoretically, but is also easy to apply practically. Within the framework of the global game with imperfect information, we first establish a boundary condition for bank runs and show that there exists a unique Nash equilibrium for bank runs. Using the option-pricing approach, we then obtain a closed-form formula for the value of bank equity with both bank run risk and insolvency risk. Finally, the optimal liquidity level is derived by maximizing the value of bank equity. Using data on Chinese listed banks, we show that the deviation of the actual liquid asset ratio from the optimal liquidity ratio represents a robust and reliable proxy for banks’ liquidity risk. An increased liquidity shortfall leads to worsening liquidity problems in a bank, and this is particularly pronounced when the liquidity shortfall is high.


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