Page 22 - CCFA Journal - 12th Issue

Risk Management 风险管理 加中金融

Liquidity risk management

流动性风险管理

First and foremost, we must clarify the difference between "liquidity risk management" and "liquidity management." Liquidity
management encompasses liquidity risk management and cash management for other purposes, such as addressing Business As
Usual (BAU) liquidity needs, and funding strategic projects. In practice, liquidity risk management employs various means to assess
possible extreme situations, including stress testing and scenario analysis, as well as using certain ratio indicators (LCR, NSFR,
NCCF, etc.) to evaluate the current situation. Banks must take measures to ensure that these indicators meet regulatory
requirements.

首先需要明确流动性风险管理（liquidity risk management）与流动性管理（liquidity management）的区别。实际上，
后者除了包含前者以外，还包括了其他现金需求的管理，例如为满足日常经营或某些战略计划而产生的现金管理。而具体
到实施上，流动性风险管理使用多种手段对可能出现的极端情况进行推演，例如压力测试（stress testing）和情景分析
（scenario analysis）等，以及一些比率指标（LCR，NSFR，NCCF 等）对现状进行评估。银行需要采取措施以确保这些
指标需要满足监管的要求。

It must also be noted that even if banks fully comply with regulatory requirements regarding various risk prevention measures,
they cannot entirely avoid losses or even disasters. While the probability is indeed low, the potential for extreme situations
beyond the expectations of a worst-case scenario analysis exists (e.g., the failure of Lehman Brothers in 2008). Nevertheless, we
can only learn from failure, improve regulations, and do our best to manage risk.

值得一提的是，即便银行所做的各类风险防范措施完全符合监管要求，也不能百分之百地避免流动性风险带来的损失甚至
灾难。历史上也有超出 scenario analysis 中预想的最极端情况的事件（例如 2008 年雷曼兄弟倒闭）。我们只能不断完
善监管的制度，尽可能的防范此类事件的发生。

注：
LCR = Liquidity Coverage Ratio = High Quality Liquid
Asset amount(HQLA) ÷ Net cash flow

NSFR = Net Stable Funding Ratio

NCCF = Net Cumulative Cash Flow

CCFA JOURNAL OF FINANCE November 2023
Page 22 第22页