新监管框架下我国商业银行流动性风险压力测试应用研究.pdfVIP

suggestions to liquidity risk stress tests. First, establish liquidity risk measurement index system of constructing a complete from regulatory perspective, static and dynamic angle,; the second is the introduction of VaR models, a pair of grey system models, methods such as Monte Carlo simulation to improve commercial banks liquidity risk stress-testing models. Key words: liquidity risk; pressure test; liquidity ratio III