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“2018年10月19日“商学大讲堂“系列学术讲座---安云碧:A new approach to measuring banks’ liquidity risk

讲座题目:A new approach to measuring banks’ liquidity risk

主讲嘉宾:安云碧

讲座时间:20181019日(星期五)13:30---15:30

讲座地点:商学院118利安达

欢迎感兴趣的老师和同学参加!

 商学院

20181019

主讲嘉宾简介:

安云碧,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衍生产品定价,资产组合选择及风险管理等。曾在Financial Management, Journal of Banking and Finance, Journal of International Money and Finance, Journal of Futures MarketsThe Quarterly Review of Economics and FinancePacific-Basin Finance Journal等国际期刊发表论文。多次受邀参加EFMAEFAMFA、以及NFA等举办的金融学年会。

讲座主要内容

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.