| 我国大额支付系统中的流动性风险 |
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| 引用本文： | 牛晨,魏先华,潘松,陈敏.我国大额支付系统中的流动性风险[J].系统工程,2008,26(11). |
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| 作者姓名： | 牛晨 魏先华 潘松 陈敏 |
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| 作者单位： | [1]中国科学院研究生院,北京100190 [2]中国人民银行支付结算司,北京100800 [3]中国科学院数学与系统科学研究院,北京100190 |
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| 摘 要： | 提出支付系统流动性风险管理的新方法,并使用芬兰银行的BoF-PSS2模拟软件对我国大额支付数据进行实证分析,通过研究存款准备金率与支付系统流动性需求的关系,以及在支付系统中引入优化算法对流动性需求和系统效率的作用,论证新的风险管理方法的可行性.实证结果表明随着存款准备金率的不断上调,支付系统中的参与者面临越来越大的流动性需求压力.而引入优化算法可以降低参与者对流动性的需求并且提高系统的效率.因此中央银行可以在加强监管、要求参与者提供抵押并在当天末归还全部日间信贷等条件下向参与者提供流动性,并且引入优化算法,应用新的风险管理方法来有效管理支付系统中的流动性风险.
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| 关 键 词： | 系统管理理论 流动性风险管理方法 模拟 支付系统 存款准备金 优化算法 |
Liquidity Risk in High Value Payment System in China |
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| NIU Chen,WEI Xian-hua,PAN Song,CHEN Min.Liquidity Risk in High Value Payment System in China[J].Systems Engineering,2008,26(11). |
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| Authors: | NIU Chen WEI Xian-hua PAN Song CHEN Min |
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| Institution: | NIU Chen1,WEI Xian-hua1,PAN Song2,3,CHEN Min3(1.School of Management,Chinese Academy of Sciences,Beijing 100190,China,2.Department of Payment , Clearing,People\'s Bank of China,Beijing 100800,3.Academy of Mathematics , Systems Science,China) |
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| Abstract: | This paper brings forward a new method to manage liquidity risk in China's large value payment system,and empirically analyzes China's large value payment data by using BoF-PSS2 simulator which is developed by Bank of Finland.By studying the relationship between required reserve ratio and liquidity requirement of payment system,as well as the effects on liquidity requirement and system efficiency by introducing optimization algorithms to payment system,the paper validates the feasibility of the new risk man... |
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| Keywords: | System Management Theory Liquidity Risk Management Method Simulation Payment System Required Reserve Optimization Algorithms |
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