流動(dòng)性約束下商業(yè)銀行經(jīng)濟(jì)資本配置研究.pdf

1、湖南大學(xué)碩士學(xué)位論文流動(dòng)性約束下商業(yè)銀行經(jīng)濟(jì)資本配置研究姓名：高菁嫻申請(qǐng)學(xué)位級(jí)別：碩士專業(yè)：金融學(xué)指導(dǎo)教師：彭建剛劉錫平20100312流動(dòng)性約束下我困商業(yè)銀行絳濟(jì)資本配冒研究AbstractInDecember2008，theBaselCommitteeissuedthe”ProposedenhancementstotheBaselIIframework”，whichstatesthatThefinancialmarketcrisis

2、underscorestheimportanceofassessingthepotentialimpactofliquidityriskoncapitaladequacyinabank’SICAAPSeniormanagementshouldconsidertherelationshipbetweenliquidityandcapitalInthiscontext，thispaperwillfocusonliquidityandecon

3、omiccapitaltostarttherelatedresearchThispaperfirstanalysistherelationshipbetweeneconomiccapitalandliquiditydepthlyTheresultsshowthattheallocationofeconomiccapitalisaveryimportantcomponentofeconomiccapitalmanagemenActuall

4、y，theallocationofeconomiccapitalreflectedthe”security”and”profit“whicharethebasicprinciplesofbankmanagementHowever，theallocationofeconomiccapitaldoesnottakeoftheneedsofliquidtyincommercialbanksintoaccountAndifthebankscan

5、notmaintainacertaindegreeofliquidity，eventhoughthebankstillhastheabilityofsettlement，itwillalsoclosedFrom”banlanceofthreeprinciples”perspective，ifweconsiderthe“l(fā)iquidity’’and“safety’’and“profitability”separatedlyitwillvi

6、olatetheprincipleofthemThus，itisnecessarytoallocationeconomiccapitalunderliquidityconstraintsInthispaperwillusetheconceptofdynamiccashflowmismatchtoconstructliquidityconstraintsThispaperwillusetechnicalmeanstoquantifythe

7、dynamicncashflowmismatch，SOwecanforcastthecashflowofcommercialbank’SinaperiodThescaleofnewbusinessincommercialbankswillbesubjecttothefuturecashflowinaperiodMeanwhile，thescaleandstructureofnewbusinesswillbesubjecttotheeco

8、nomiccapitalquotaOnthisbasis，thispaperwilldesignamethodtoallocationeconomiccapitalunderliquidityconstraints，anduseanumericalexampletodemonstratethefeasibilityandpracticalityofthismethodFinally，thispaperbringsupsomeavaila