The Empirical Studies and the Matrix of Forecasting the Grey Calamity of the Commercial Bank's Reserves

摘要

The management of a commercial bank's risk is currently one of the hottest issues concerned by the world-wide financial circles. The direct exhibition and the arising of contradiction of a commercial bank's risk in operation, and even the outburst of credit crisis are all embodied in the inadequate payment in their early stages. Consequently, as an important component of the management of the risk, the management of reservers is increasingly concerned by the supervisors and the theoretical circles. However, in the management of a commercial bank's risk, the indefinite demand for the settlement of reservers is an intractable problem that has been puzzling the supervisors. The demand for reservers in a commercial bank is a sequence of time; therefore, this kind of problem can be solved by making advantage of forecasting matrix of time sequence. The traditional ways forecasting demand mainly include the sequence of time, regressional analysis and Kalman filtering. But there exist in these ways various deficiencies such as the demand for a large amount of information, the nstable numerical value and the insensitivity to items of cycle. By making advantage of the currently widely-recognized way to forecast the grey calamity, this article establishes a matrix of forecasting the grey calamity of a commercial bank's demand for reserves and analyzes the matrix empirically. The empirical result proves that, the problem of insufficient information often encountered while forecasting can be effectively solved with this method, and furthermoflMhe calculation is easy and its forecasting result is acute.