Измерение риска ликвидности системы кредитных организаций на примере банковской системы России.
The lack of liquidity in the banking sector was a key factor in the deployment of the latest financial crisis, but at the moment the authors do not know indicators to measure the liquidity risk for the banking system as a whole. In this paper, we propose an indicator that allows you to measure the adequacy of liquidity. Its construction is based on the separation of accounts, bank balance for liquid and illiquid based on a comparison of statistics intramonth flows and stocks at the end of the month. We show that for the Russian banking system this indicator will display the instability of the system, associated with a lack of liquidity, as well as a leading indicator for the banking crises of 2008 and 2014's. The question of stability of distribution of the banks on this indicator during the crisis in the Russian economy is researched. Also in the work it is shown that the change in the time horizon in the calculation of the liquidity of the proposed definition of the indicator is a measure not only of the current liquidity risk, but the risk of instant liquidity and quality of funding.