Based On Stress Tests, China's Commercial Banks To Liquidity Risk Management Study

The recently U.S. subprime crisis spreading to the world allows people to begin to strengthen the attention to banks'liquidity risk and its management. As the development of the gradually opening up of the internationally financial market and the expansion of banks'business scale, liquidity risk exists in the commercial banks. In recent years, the China Banking Regulatory Commission has attached much importance to liquidity risk management, and promulgated a series of the policy documents. The effective management to the commercial banks'liquidity risk is not just urgent to the managers, but also very important to the researchers. The application of the stress test in the field of risk management is reasonable.This paper, based on the Stress Test, studies the way to manage banks'liquidity risk. This paper combines the stress test with the banks'liquidity risk management, and analyzes the stress test steps of the commercial banks'liquidity risk management in detail. The part is the focus of this article. This paper, based on the theory and steps of stress test, conducted a specific research to a particular bank's liquidity risk management, which makes the implication of stress test easier to understand. This article constructs liquidity stress test model and carry on a test to it. In this process, the paper, based on B bank's historical data, establishes a pressure model for the scenario impact, observes B bank's liquidity risk profile, and deals with the weak points of its liquidity risk. And then this paper analyzes the limitations of the application of stress test in the commercial banks' liquidity risk management. Finally, according to the study on liquidity risk management and its stress test, this paper gives some countermeasures.