Research On Liquidity Measurement And Management Of Commercial Banks

Liquidity, safety, profitability is the foundation on which commercial banks can to survive, and particularly the Liquidity is the lifeblood of commercial banks. If commercial banks can provide sufficient liquidity, they can provide adequately fund to meet the requirements of the withdrawals and the lenders and can ensure safety and profitability. However, the liquidity risk management issues is one of the focus and difficult problems in the research field of commercial bank risk management. Liquidity risk issues are not be deal with well, it may lead to the bankruptcy of commercial banks, and may lead to a financial crisis and even a paralysis of entire national economy. The"sub-prime crisis" shows the strong momentum of liquidity risk and the warning of the importance of liquidity risk management.The measurement of liquidity risk is the foundation of the liquidity risk management. However, an accurate measurement of liquidity risk is still a problem, because the causes of liquidity risk is complexly and the liquidity risk is the ultimate expression of a variety of other forms of risk and has a infectious effect, therefore, its measurement is different from the traditional measurement of the value of risk, but there is not a unified and comprehensive standards to measure the liquidity risk in the current theory and in practice.For my country, in the "sub-prime crisis" before, China's commercial banks especially state-owned commercial banks have relied on the state's invisible credit guarantee for a long time, so the liquidity is amplely and even a surplus, the bank can't pay adequately attention to the liquidity risk management. The measurement of liquidity risk is also limited to the static measurement method. However, with the deepening of economic and financial reform, China's banking sector will be increasingly close to the international financial market, so, the international financial market will affect the banks in China. In the influence of the "sub-prime mortgage crisis", China's commercial banks are faced with a large of potential liquidity risk.This paper includes four parts. The first part described the background and significance of the topics of this article, introduced the history of the liquidity risk management theory and the literature summary about the liquidity risk.The second part introduced the definition and classification of the liquidity risk, summarized the causes of the liquidity risk from both internal and external aspects, analysed the liquidity risk's infection, briefly discussed the liquidity risk triggered by the current crisis, as well as the potential future liquidity risks triggered by a approach to handle to the crisis, and finally researched the current situation of China's commercial banks.PartⅢsummarized and compared the static metrics and dynamic metrics of the commercial banks' liquidity risk, discussed the liquidity risk measurement methods in the financial market and in the regulators of bank, analysed the method of VaR and ES, and compared theirs good points and drawbacks, utilized the net liquidity gap model to estimate net liquidity gapThe fourth part analysed the shortcomings of China's current liquidity risk management, and put forward the correction methods and recommendations.