讲座题目：A new approach to measuring banks’ liquidity risk
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 Markets，The Quarterly Review of Economics and Finance和Pacific-Basin Finance Journal等国际期刊发表论文。多次受邀参加EFMA、EFA、MFA、以及NFA等举办的金融学年会。
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.