Z消费金融公司资本充足性对流动性风险影响的研究 摘要 危害性巨大的金融危机迫使人们认识到了银行业金融机构日常经营中所蕴含着 的流动性风险。流动性风险管理已成为银行业全面风险管理体系的重要组成部分。但 流动性风险并非是一个直接风险，它大多数时候都是因其他因素而引起的间接风险。 因此，我们在关注流动性风险的时候，也应该着重关注可能引起流动性风险的诸多因 素。巴塞尔银行监管委员会发布了《巴塞尔协议Ⅲ》，旨在加强金融风险监管。协议 在引入了新的流动性监管标准的同时，改革了对监管资本的数量和质量要求。在探讨 流动性风险管理的时候，加入资本充足性对其影响的讨论，有利于提升对流动性风险 管理认识的全面性。 而信用风险作为银行业金融机构所面临的主要风险之一，其一旦发生将影响贷款 本金及利息的安全，扰乱资金流计划，直接影响流动性的管理情况，严重时可能会引 起流动性危机。同时，信用风险的大小将直接影响风险加权资产的大小，从而影响银 行业金融机构的资本充足情况。故在研究资本充足性对流动性风险的影响的时候，还 需要充分考虑信用风险对相关影响的作用。 随着金融的发展，流动性风险管理理论实现了从资产风险管理理论、负债风险管 理理论、资产负债风险管理理论到全面风险管理理论的不断完善，在强调流动性风险 管理的同时，也更多的关注到了其他风险对于流动性的影响。目前国内外有很多研究 聚焦到了资本充足性同流动性风险之间的关系。关于资本充足性对流动性的影响，目 前有较为主要的两种假说：“金融脆弱－挤压假说”和“风险吸收假说”。而在实证研 究中，流动性和资本之间的关系在不同体量的银行中有着不同的体现。针对小型金融 机构的实证研究情况大多支持了“金融脆弱－挤压假说”，主张资本充足率与流动性 风险水平成反比。但很少有研究从全面风险管理的视角，在研究资本充足性与流动性 风险关系的时候引入信用风险因素。本文将探寻对于我国的Z消费金融公司来说，其 资本充足性对流动性风险的具体影响。同时在研究中引入信用风险因素，进一步探索 信用风险之于资本充足性对流动性风险影响的作用。 本文主要选取了我国消费金融行业中较有代表性的Z消费金融公司进行研究。通 过回归分析方法来进行分析，分析了Z公司资本充足性与流动性风险的关系。结果表 明，Z消费金融公司作为一个小型金融机构，其资本充足性与流动性风险成正相关关 系，即验证了“风险吸收假说”。此结论同先前大量的针对小型金融机构的研究结论 相反。可能原因为，对Z消费金融公司来说，当其资本充足性增加时，其风险缓冲资 产也增加了，在增加盈利和扩张规模等诱惑的驱使下，此时公司的风险偏好可能会因 摘要 此变大，有相应的冲动进行资产端的扩张，增强对外的流动性转换，与此同时也将流 动性风险留存在了自身。股东对流动性进行支持的承诺也促进了更为激进的流动性管 理选择。 引入了信用风险因素后，回归分析验证了信用风险之于资本充足性对流动性风险 影响的强化作用。资本充足性与流动性风险的相关关系因为加入了对信用风险因素的 考虑而变得显著。基于研究结论，本文建议在今后研究资本充足性对流动性风险影响 的时候，可考虑在相关模型中加入信用风险因素，这样可以使相关研究理论和模型更 为完善。 基于上述研究，本文探讨了可能造成相关结论的原因，并针对研究结果对Z公司 以及我国消费金融行业提出了公司管理制度及实际操作建议。建议我国的消费金融公 司在自身内部建立全面风险管理体系，将流动性风险管理作为全面风险管理的重要维 度之一，在对其他类别的风险进行管控的时候，也需要考虑到它们对流动性风险的影 响。提升流动性风险管理技术，并基于本文研究，加强对资本充足性的管理，并探索 通过对信用风险的调控来达到均衡资本充足性与流动性风险管理目的的方法。最终有 效控制好消费金融公司面临的流动性风险，确保公司的稳健经营。 关键词： 流动性风险 资本充足性 信用风险 消费金融 ABSTRACT Research on the Influence of Capital Adequacy on Liquidity Risk in Z Consumer Finance Company ABSTRACT Devastating financial crises has forced people to notice the liquidity risk in the daily operation of banking institutions. Liquidity risk management has become an important part of the comprehensive risk management system in the banking industry. However, liquidity risk is not a direct risk. Most of the time, it is an indirect risk caused by other kinds of factors. Therefore, when we pay attention to liquidity risk, we need also pay attention to many factors that may cause liquidity risk. Basel Committee on Banking Supervision has issued Basel Ⅲ to strengthen the regulation on financial risk. It has introduced new liquidity regulatory standards, and reformed the demand on quantity and quality of regulatory capital. Therefore, when discussing liquidity risk management, the consideration on the impact of capital adequacy on liquidity risk management is conducive to improving the comprehensive understanding. Credit risk is one of the major risks faced by the banks. Once it occurs, it will affect the security of loan principal and interest, disrupt the cash flow plan, directly influence the management of liquidity, and may cause a liquidity crisis in severe cases. At the same time, the credit risk will directly impact the size of risk-weighted assets, then the capital adequacy of the banks. Therefore, when studying the impact of capital adequacy on liquidity risk, the effect of credit risk on related risk should be fully considered. Along with the development of finance, liquidity risk management theory has changed from the asset risk management theory, liability risk management theory, asset and liability risk management theory to the comprehensive risk management theory. While emphasizing liquidity risk management, it also pays more attention to the impact of other risks on liquidity. Many researches at home and abroad focus on the relationship between capital adequacy and liquidity risk. There are two prevailing hypotheses about the effect of capital adequacy on liquidity: the " Financial Fragility - Squeeze Hypothesis " and the "Risk Absorption Hypothesis". In the empirical study, the relationship between liquidity and capital behaves differently depending on the different volumes of banks. Most empirical studies on small financial institutions support the " Financial Fragility - Squeeze Hypothesis ", which argues that capital adequacy is inversely proportional to the level of ABSTRACT liquidity risk. However, few studies have introduced credit risk factors into the study of the relationship between capital adequacy and liquidity risk from the perspective of overall risk management. This thesis will verify the specific impact of capital adequacy on liquidity risk for Chinese Z consumer finance company. At the same time, credit risk factor is introduced to further explore the role of credit risk in the impact of capital adequacy on liquidity risk. This thesis selects Z consumer finance company which is a representative in China's consumer finance industry for research. Through regression analysis, the relationship between capital adequacy and liquidity risk of Z company is analyzed. The result shows that Z consumer finance company, as a small financial institution, has a positive correlation between capital adequacy and liquidity risk, which verifies the "Risk Absorption Hypothesis". This is contrary to many of the previous studies on small financial institutions. The probable cause is that for Z consumer finance company, when its capital adequacy increases, its risk buffer assets also increase. At this time, driven by the temptation to increase profits and expand, the risk appetite of the company may therefore rise, and there will be corresponding impulse of asset expansion to enhance the liquidity conversion to the society, resulting in the adding of its liquidity risk. Shareholders’ commitment to liquidity support also promotes more aggressive liquidity management options. After the introduction of credit risk factor, the regression analysis verifies the strengthening effect of credit risk on the impact of capital adequacy on liquidity risk. The correlation between capital adequacy and liquidity risk becomes significant when credit risk factor is taken into account. Based on the research conclusion, it is suggested that in the future, when the impact of capital adequacy on liquidity risk is studied, credit risk factor should be added to make the relevant research theories and models more perfect. Based on the research, this thesis analyzes the causes for the above conclusions, and puts forward the company's management system and practical operation suggestions fo