Measurement of Liquidity Risk in Commercial Banks: using high-order ES based on Peaks over Thresholds model

摘要：

How to accurately measure liquidity risk of commercial banks is a significant issue. Nowadays, the primary measurement methods are to apply some simple financial indicators, VaR or L-VaR Because of the nature defects, these methods would affect the effectiveness of risk measurement in certain extreme environments such as the financial crisis. In the light of the defects, this paper presents a measurement model based on POT-ES(n) in order to capture the liquidity risk that commercial banks face more effectively in extreme cases. The result of Back Test shows that the risk values obtained from POT-ES(n) model perform better in liquidity risk measurement.

关键词： Commercial Bank liquidity risk EVT VaR ES(n)

作者: Yanju Zhou Hongying Ren Zongrun Wang

作者单位: Business School, Central South University, Changsha, 410083, China

会议类型: 国际会议

会议名称: 2010 International Conference on Intelligent Computation Technology and Automation(2010 智能计算技术与自动化国际会议 ICICTA 2010)

会议地点: 长沙

会议语种:英文

页码: 1814-1817

在线出版日期: 2010-05-11（万方平台首次上网日期，不代表论文的发表时间）