Liquidity Risk Management Of Commercial Banks In Basel

Basel Ⅲ is the Basel Committee and the national regulatory authorities’ reflection of the 2008 financial crisis, one of the most important improvement is strengthening supervision of financial institutions’ liquidity risk, highlighted the importance of liquidity risk regulation.It’s the first time that Basel Ⅲ proposed two possible worldwide uniform application of liquidity indicators: liquidity coverage ratio and net stable funding ratio.This article focuses on the introduction of net stable funding ratio.I used our 16 commercial banks’ tdata from 2008 to 2015 to measure their net stable funding liquidity risk of our 16 commercial banks’ liquidity risk.Net stable funding ratio equals to the ratio of available stable funding and required stable funding.Different assets and liabilities will be given different weights.The principle of the division of available stable funding is that under pressure situation, the more stable source of funding will given the bigger share; Required stable funding is divided by the business’ requirement for stable funding,the higher requirement means the bigger share,Then I combine of commercial banks’ balance sheets to select the appropriate subjects in order to compute specific data.I choose shareholders’ equity, borrowed funds, derivative financial assets, bonds payable, loans and other liabilities these items are calculated as the numerator; select investment securities- available for sale financial assets, investment securities- receivables, investment property, long-term equity investments and investments held to maturity, trading financial assets and other assets, loans and advances, cash and deposits with central banks and from banks and other financial institutions, as well as unused credit lines or liabilities these items are calculated as the denominator. Again depending on the classification of assets and liabilities assigned to corresponding weights.According to the data to measure the liquidity risk of 16 commercial banks. Then I introduce net interest margins to note that commercial banks’ measures to meet the net stable funding ratio have what differential impact on their net interest margins.At last,I combine with the current situation of liquidity risk of Chinese 16 commercial banks, the presence of question to give some policy recommendations of China’s commercial banks’ liquidity risk management.