“2018年10月19日“商學大講堂“系列學術講座---安雲碧：A new approach to measuring banks’ liquidity risk

講座題目：A new approach to measuring banks’ liquidity risk

主講嘉賓：安雲碧

講座時間：2018年10月19日（星期五）13:30---15:30

講座地點：商學院118利安達廳

歡迎感興趣的老師和同學參加！

 商學院

2018年10月19日

主講嘉賓簡介：

安雲碧，加拿大皇後大學金融學博士，現任加拿大溫莎大學Odette商學院金融學教授。其主要研究領域包括衍生産品定價，資産組合選擇及風險管理等。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等國際期刊發表論文。多次受邀參加EFMA、EFA、MFA、以及NFA等舉辦的金融學年會。

講座主要内容

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.