I 摘要 伴随经济进步，金融改革进程持续深入，利率市场化的日渐成熟，以及国内金融 市场的逐步放开，使得国内金融环境也更加复杂。国内银行业也迎来更多挑战，流动 性风险也越来越突出，将会对银行带来巨大的冲击和挑战。现阶段，与其他大型银行 相比，中小银行流动性风险压力更加严峻，尤其是以村镇银行为代表的县域法人金融 机构，其风险更为突出。村镇银行自身对流动性风险管理认识不足，其本身对流动性 风险的计量指标也仅满足于监管指标，这导致其流动性管理水平严重滞后，极易引发 流动性风险。因此村镇银行需要加大对流动性风险的管理，做好应急管理机制，才能 保障稳健经营。 本文在结合国内外学者对流动性风险管理研究的基础上，以陕西 CY 村镇银行为 案例，阐述目前村镇银行流动性风险管理的现状及存在的问题。CY 村镇银行流动性风 险框架不完善，资产负债管理水平仍需提升，综合管理人才有待提高。村镇银行面临 的问题存在外部原因，外部宏观经济的不景气，利率市场化不断的深入，以及银行间 市场竞争不断加剧，是容易引发流动性风险的因素。但同样也面临内部原因，对流动 性风险管理认识不足，高管层对风险的偏好，信息化管理程度不够，也同样容易引发 流动性风险。本文结合国内其他村镇银行流动性风险管理的经验进行总结，提出对 CY 村镇银行有针对性的建议对策。 研究结果表明：（1）CY 村镇银行规模小，所处位置为经济欠发达地区，容易受到 外部环境影响冲击，自身建立有流动性风险管理框架，但流动性风险管理能力较弱；（2） 通过进一步分析，发现存在流动性管理框架不够完善、资产负债管理水平不足、流动 性风险管理监测不及时、综合管理人才欠缺等问题；（3）借鉴国内成立较早、发展较 好村镇银行的典型做法，CY 村镇银行应在流动性风险管理框架、资产负债管理水平、 流动性风险监测、应急预案等方面进行完善，进一步提升自身流动性风险管理水平；（4） 从组织框架、风险监测、员工综合能力、资产配置、负债结构五个方面提出建议对策， 提升 CY 村镇银行流动性风险管理意识，加强 CY 村镇银行整体流动性风险管理能力。 关键词：村镇银行；流动性；风险管理；压力测试西北农林科技大学硕士学位论文 II ABSTRACT With the continuous development of the economy, the continuous deepening of financial reforms, and the marketization of interest rates is maturing, the domestic financial environment has become more complicated. my country's banking industry is also facing new challenges, and potential liquidity risks will become increasingly apparent, which will bring huge impacts and challenges to banks. At this stage, compared with other large banks, the liquidity risk pressure of small and medium banks is more severe, especially for county-level legal person financial institutions represented by village banks, whose risks are more prominent. Village banks do not have sufficient knowledge of liquidity risk management, and their own measurement indicators of liquidity risk are only satisfied with regulatory indicators, which leads to a serious lag in their liquidity management level and can easily lead to liquidity risks. Therefore, village banks need to strengthen the management of liquidity risks and implement emergency management mechanisms in order to ensure stable operations. Based on the research on liquidity risk management by domestic and foreign scholars, this paper uses Shaanxi CY rural banks as a case to illustrate the current status and existing problems of liquidity risk management in rural banks. The liquidity risk framework is imperfect and the level of asset liability management It still needs to be improved, and comprehensive management talents need to be improved. The problems faced by rural banks include external environmental factors. The external macroeconomic downturn, the continuous deepening of interest rate marketization, and the increasing competition in the inter-bank market are factors that easily trigger liquidity risks. But it also faces internal problems, lack of understanding of liquidity risk management, senior management's preference for risk, and insufficient information management, which is also easy to cause liquidity risks. Combining with the experience of other domestic rural banks in liquidity risk management, it summarizes and puts forward specific suggestions and countermeasures for CY rural banks. The research results show that: (1) CY rural banks are small in scale, located in economically underdeveloped areas, and are vulnerable to external environmental impacts. They have established a liquidity risk management framework, but have weak liquidity risk management capabilities; (2) Through further analysis, it is found that there are problemsABSTRACT III such as insufficient liquidity management framework, insufficient asset and liability management level, untimely monitoring of liquidity risk management, and lack of comprehensive management talents; (3) Reference to the typical domestically established and well-developed rural banks CY rural banks should improve their liquidity risk management framework, asset-liability management level, liquidity risk monitoring, emergency response plans, etc., to further improve their own liquidity risk management level; (4) From organizational framework, risk monitoring, staff Put forward suggestions and countermeasures in five aspects: comprehensive capabilities, asset allocation, and liability structure, to enhance the awareness of CY rural banks' liquidity risk management, and strengthen the overall liquidity risk management capabilities of CY rural banks. KEYWORDS: Village banks；Liquidity；Risk management；Stress testing目 录 I 目 录 摘要...........I ABSTRACT .II 第一章 导论............................. 1 1.1 研究背景 .......................... 1 1.2 研究目的及意义 .............. 1 1.2.1 研究目的.................... 1 1.2.2 研究意义.................... 2 1.3 国内外研究综述及评价 .. 3 1.3.1 国外研究动态............ 3 1.3.2 国内研究动态............ 4 1.3.3 对现有研究的评价.... 5 1.4 研究思路和技术路线 ...... 5 1.4.1 研究思路.................... 5 1.4.2 技术路线图................ 6 1.5 研究方法和数据来源 ...... 7 1.5.1 研究方法.................... 7 1.5.2 数据来源.................... 7 第二章 概念界定和理论基础... 8 2.1 概念界定 .......................... 8 2.1.1 村镇银行.................... 8 2.1.2 资金流动性................ 8 2.1.3 流动性风险................ 9 2.1.4 流动性风险管理........ 9 2.2 理论基础 ........................ 10 2.2.1 资产管理理论.......... 10 2.2.2 负债管理理论.......... 10 2.2.3 资产负债管理理论...11 第三章 CY 村镇银行资金流动性风险管理现状 . 12 3.1 CY 村镇银行概况........... 12 3.1.1 基本情况.................. 12西北农林科技大学硕士学位论文 II 3.1.2 管理构架.................. 12 3.2 CY 村镇银行运行情况... 12 3.2.1 资产负债情况.......... 12 3.2.2 利润情况.................. 14 3.3 CY 村镇银行的流动性情况.......................... 14 3.3.1 流动性指标.............. 14 3.3.2 流动性比率.............. 15 3.3.3 存贷比分析.............. 16 3.3.4 核心负债比例.......... 16 3.3.5 最大十户存款比例.. 17 3.3.6 不良贷款率.............. 17 3.4 目前 CY 村镇银行流动性风险管理的主要做法....................... 18 3.4.1 流动性风险管理框架............................. 18 3.4.2 流动性风险的识别.. 19 3.4.3 流动性风险的测算.. 19 3.4.4 流动性风险的监测.. 20 3.4.5 流动性风险的控制.. 20 第四章 CY 村镇银行流动性压力测试 ................. 22 4.1 压力测试概念及流程 ..... 22 4.1.1 压力测试的定义...... 22 4.1.2 压力测试的意义...... 22 4.1.3 压力测试的流程...... 22 4.1.4 压力测试的方法...... 23 4.2 压力测试模型构建 ......... 23 4.2.1 压力情景设计.......... 23 4.2.2 指标设计.................. 23 4.3 压力测试结果分析 ......... 24 4.3.1 敏感性测试.............. 24 4.3.2 情景测试.................. 27 4.3.3 结果分析.................. 28 第五章 CY 村镇银行流动性风险存在问题及成因 ............................. 30 5.1 存在问题 ......................... 30 5.1.1 流动性风险管理框架仍需完善............. 30目 录 III 5.1.2 资产负债管理水平仍需提高................. 31 5.1.3 流动性风险管理流程仍待加强............. 32 5.1.4 风险管理的综合人才有待提升............. 33 5.2 成因分析 ......................... 34 5.2.1 外部因素分析.......... 34 5.2.2 内部因素分析.......... 35 第六章 国内其他地方性银行流动性风险管理经验........................... 37 6.1 浙江长兴联合村镇银行强化流动性风险管理的做法 .............. 37 6.2 安徽长丰科源村镇银行提升