Basel III 流動性風險架構下中國金融系統風險之研究

2010年9月，巴塞爾銀行監理委員會（BCBS）在BaselⅡ的基礎上公佈了第三版新資本協定（簡稱BaselⅢ），作為全球金融業風險管理的全新規則。相較於之前兩個版本的協定，BaselⅢ提出量化流動性風險管理的內容，即「流動性覆蓋率」（Liquidity Coverage Ratio, 以下簡稱LCR）與「淨穩定資金比率」（Net Stable Funding Ratio, 以下簡稱NSFR）。本文以BCBS於2010年9月公佈的流動性風險管理架構為基礎，整理收集了中國大型國有商業銀行和全國性股份制商業銀行共6家的資產負債表等公開資訊以及總體經濟變數，應用前述比率細項分析，希望提供監理機關作為施政參考。 BaselⅢ流動性風險架構是針對個別銀行做「個體審慎衡量」，未針對整體金融系統風險作「總體審慎衡量」。本文參考锺經樊（2011）之涵蓋信用風險、銀行間傳染風險與流動性風險的台灣金融系統風險量化模型，包含了中國最大六家銀行的資料來衡量中國商業銀行整體的系統風險損失分配，並調整相關參數，進行壓力測試和情景分析。根據實證結果我們可以看到：個體審慎部分中，每家銀行的流動性覆蓋率和淨穩定資金比率均高於監管要求的100%，但每家銀行的流動性覆蓋率和淨穩定資金比率則相差較多，這是由於每家銀行的資產負債表項目不同導致。總體審慎部分中，實證結果中，信用風險損失違約率、信用風險損失、銀行間傳染風險損失、流動性風險損失、平均總損失、流動性覆蓋率、凈穩定資金比率這七項指標都隨著壓力情境設定逐漸嚴格而惡化。隨著壓力情境中流動性覆蓋率、淨穩定資金比率的門檻值和提領比率逐漸提高，倒閉銀行個數也隨之增加，並且，銀行的平均總損失也相應提高，而流動性覆蓋率和淨穩定資金比率則相應降低，出現低於門檻值的情況。由於壓力情境是依據2008年進入危機的情形設定，因此，監管機構要根據測試結果提出應對措施。

關鍵字

流動性風險；中國金融系統風險

並列摘要

Basel Committee on Banking Supervision (BCBS) issued Basel III Accord in 2010. The Committee has developed two minimum liquidity standards, which are Liquidity Coverage Ratio (LCR) and Net Stable Funding Ratio (NSFR). Based on the Basel III framework for liquidity risk measurement. In this paper, we attempt to get the two liquidity standards for 6 biggest banks in China via public information, and macroeconomic data. Though the Basel III Accord has implemented the so-called micro-prudential regulation to measure liquidity risk for every individual bank, it neglects the macro-prudential measures. Hence, we make references to Chung (2011) attempting to build up a systemic risk model with credit risk, interbank contagion risk and liquidity risk involved altogether. By modifying several parameters, we make the scenario analysis of multi-risk losses for 6 Chinese banks. The empirical assessment shows that while the LCRs and NSFRs meet the supervisory requirements, or higher than 100%, for the 6 sample banks, they differ a lot with each other. With the increasing of the LCR and NSFR threshold as well as the withdraw ratio in the scenario analysis, the number of the bankruptcy is increasing, and the total loss is increasing, too, while the LCR and NSFR is decreasing. The supervisions should come up with the measures to help the banks survive under the stress events such as 2008 financial crisis.