金融去杠杆背景下资产流动性对商业银行风险承担的影响研究

高杠杆是金融风险衍生的根源,维护金融安全已经提升至国家安全战略高度。近年来基于调节资产流动性而进行的资产转让和贷款类信托理财业务的规模正逐渐扩大,在金融去杠杆背景下,资产流动性大小对商业银行风险承担的影响具有双重效应。一方面,出售资产能力的提高增强了商业银行流动性冲击承受能力,资产流动性的提升会降低商业银行风险承担;另一方面,资产流动性的提升会激励商业银行风险资产增持行为,导致新的流动性风险聚集。将金融去杠杆引入分析框架,基于存款保险制度视角构建了资产流动性与商业银行风险承担关系的理论模型,通过考察带有金融去杠杆强度的商业银行违约概率和违约损失率对贷款出售折价率的偏导数,研究去杠杆背景下资产流动性与商业银行风险承担的关系。

Research on the Effect of the Asset Liquidity on Risk Taking of Commercial Banks in the Context of Financial Deleveraging

High leverage is the root cause of financial risks. Maintaining financial security has been promoted to the height of national security strategy. In recent years, the scale of asset transfer and loan trust and financing business based on liquidity adjustment has been increasing. Under the background of financial deleveraging, there are two opposite effects of asset liquidity on the risk taking of commercial banks. On the one hand, the improvement of the ability to sell assets enhances the liquidity impact capacity of commercial banks, and the improvement of asset liquidity will reduce the risk taking of commercial banks. On the other hand, the enhancement of asset liquidity will stimulate the risk assets holdings of commercial banks, leading to new liquidity risk aggregation. This paper introduces the financial deleveraging into the analytical framework, and builds a theoretical model of the relationship between the liquidity of assets and the risk taking of commercial banks based on the perspective of the deposit insurance system. By investigating the partial derivatives of the default probability and the default loss rate of the commercial banks with the intensity of financial deleveraging, this paper studies the relationship between asset liquidity and risk taking in commercial banks under the background of financial deleveraging.