Research On Liquidity Risk Management Of Commercial Banks In China

Liquidity risk is one of the most basic risks of commercial banks.And it is the most destructive risk,but it has not received enough attention.Until the outbreak of sub-prime crisis,a lot of banks in USA bankrupted or were merged or be rescued due to the lack of liquidity,and then the liquidity risk of commercial bank gradually draw the attention from the Basel Committee,national regulators,banks and academic circles.In China,banks comply with the national credit system,which cause the long time insufficient awareness of risk management and then liquidity risk arising.Meanwhile,China's financial market opening,interest rate marketization and de-bubbling policy and the deposit insurance system and lack of market liquidity enhance the probability of outbreaking of bank liquidity risk.Liquidity risk management is one of the most important activities of banks,and liquidity management can reduce the probability of occurrence of serious problems.In view of this,the commercial bank liquidity risk management is chosen as topic in this dissertation.In this paper,the liquidity risk of commercial banks is selected as the research object,improving the liquidity risk management ability of commercial banks is set as the goal.From five aspects of definition of liquidity risk,risk formation mechanism,risk measurement,risk early warning and risk controling,the relevant domestic and foreign literature are researched and the research ideas come into being:the liquidity risk of commercial banks includes the internal formation and external contagion,so the causes,the evaluation standard and the early warning should all be different.Therefore,the main contents of this dissertation are as follows:Firstly,after the study of basic liquidity risk anagement stipulations of the Basel Committee and China Banking Regulatory Commission,the problems and the causes of our country's liquidity risk management are analyzed.And then the internal and external formation mechanisms of liquidity risk of commercial banks are discussed.Maximization of bank benefits,single financing channels,mismatch of assets and liabilities,high rate of non-performing loans,transformation of other internal risks in banks,occupying of shadow banks and financial disintermediation are included in the internal formation mechanism.And the external formation mechanism is discussed from three aspects:the balance sheet run on bank and asset price volatility of banks.Secondly,the measurement index system of our country's commercial banks liquidity risk is established from two dimensions of static index and dynamic index.The static index includ:the money supply,loan to deposit ratio,liquidity ratio,the deposit reserve ratio,cash reserve rate,proportion of different terms of loans and non-performing loan ratio.The dynamic index includes liquidity gap.Considering the characteristics of dynamic data,EGARCH model,POT model and VaR model are combined as one model to measure the a dynamic liquidity risk.Thirdly,based on the interbank lending market,the risk contagion model is established by matrix method to measure the external liquidity risk.The liquidity index is selected as the index and 14 banks are selected as the subject.And then the measurement and simulation of interbank risk contagion are researched with C++ program.Fourthly,on the basis analysis of definition,contents,goal and procedure of commercial banks liquidity risk early warning,the liquidity risk of Chinese commercial bank warning critical value,alert and warning signal are set up.And then the emergency plans are established:the emergency mechanism construction and establishment of personnel responsibilities,financing plans,procedure and content of four levels of risk disposal of contingency plans.Finally,the countermeasures of our country commercial bank liquidity risk management are puts forward from three angles:firstly,the establishment of efficient external environment of risk management;secondly,the improvement of liquidity risk management of commercial bank;thirdly,enhancing service capacity and reduce the rate of non-performing loans.