Liquidity Coverage at Risk
基于流动性覆盖率，提出风险流动性覆盖率（LCRisk）概念，衡量银行未来30天面临流动性不足的概率，并利用资产负债表信息计算流动性缓冲，实证显示其可作为流动性风险的早期预警指标。
Building on the Liquidity Coverage Ratio, this paper introduces the notion of Liquidity Coverage at Risk (LCRisk), which is the probability that a bank faces an illiquidity episode in the next 30 days. LCRisk is characterized by a closed-form expression and it can be derived utilizing information embedded in the bank's balance sheet, thereby capturing the close association between liquidity and the volatility of both assets and liabilities. Furthermore, the LCRisk framework enables the calculation of the liquidity buffer, indicating the necessary adjustment of liquid assets to ensure that LCRisk remains below a predetermined probability threshold. In the empirical analysis, we calculate LCRisk for a cohort of European banks, demonstrating the efficacy of this measure in serving as an early indicator of potential liquidity risks.