数量经济学前沿论坛：李富春
报告题目：Monitoring Intraday Liquidity Risk in a Real Time Gross Settlement System
报告时间：2019年11月13日14:30——16:30
报告地点：博学楼I-206
主办单位：经济学院 高等经济研究院
【报告人简介】
李富春，1982年毕业于南开大学数学系，获学士学位；1987年毕业于东华大学基础科学系，获硕士学位；1994年毕业于圭尔夫大学经济系 (University of Guelph), 获经济学硕士学位；2000年毕业于西安大略大学经济系（The University of Western Ontario）获经济学博士学位。现为东北财经大学经济学院特聘教授，加拿大中央银行高级经济学家(Senior Economist at Bank of Canada)，并兼任加拿大支付系统高级研究顾问 (Senior Research Advisor at Payments Canada)，同时在卡尔顿大学 (Carleton University)，渥太华大学 (University of Ottawa) 等多个大学担任客作教授，还担任Journal of Econometrics，Econometric Theory，Journal of Nonparametric Statistics，Journal of Financial Econometrics，Journal of Financial Stability，Econometric Reviews, Economic Letter 等十余个国际期刊审稿人。
【报告摘要】
The objective of this paper is to construct analytical tools to monitor intraday liquidity risks in a real time gross settlement system. To achieve this goal, at a given time during the payment cycle, we construct an indicator to assess intraday liquidity risk of a financial Institution by comparing the evolution of the expected resource of the participant for settling payments in the reminder of the day with Its expected liquidity requirement .If the expected liquidity requirement of this participant is larger than its expected liquidity resource, the participant is very likely to experience a high intraday liquidity risk. Otherwise, the available liquidity resource of the participant will be sufficient to cover its expected liquidity requirement in the reminder of the day. Furthermore, in order to assess the possible occurrence of a high liquidity risk event in the remainder of the day, we propose an early warning framework of occurrence of a high liquidity risk event. Using the data coming from Canada’s RTGS-equivalent payment system,LVTS, we find that empirical results are encouraging.
撰稿：李兆丹 审核：齐鹰飞 单位：经济学院 高等经济研究院