Research On Liquidity Risk In Rural Commercial Banks

In recent years, rural commercial Banks in China has gradually become the backbone of promoting rural economic development, and bear the important task of serving the "three agricultural". It uses the traditional evaluation index of Large-sized Commercial Bank in evaluating the liquidity level, without considering its own capital less, low credit recognition, and the source of funding channels narrow and other disadvantages. And the rural commercial banks due to the characteristics of association and the significant regional economic characteristics, with in-depth cooperation between each other, once a liquidity problem occurred may cause a chain reaction. Therefore, rural commercial banks’internal liquidity risk measurement, with more accurate risk reserve, is conducive to the rational allocation of financial resources, to achieve the timely and effective adjustment of capital and risk, for the rural commercial bank providing a reliable basis for decisions on resource utilization and to realize the scientific and systematic management of the internal liquidity risk of rural commercial banks.Based on the research background and practical significance, this paper combining with the characteristics of rural commercial banks measures the liquidity level of rural commercial banks. First, the deposit, according to the duration and nature of the deposits deposit, falls into various patterns, this paper fully consider the impact of each type on the deposit liquidity. Secondly, in view of the liquidity risk event is usually a low frequency and high risk event, so this paper will use extreme value theory POT model suitable for describing the tail distribution to establish the measurement model of the tail volatility of various types of deposits. Then, considering all kinds of deposit has certain correlation between volatility, so this paper will use copulas connect function to describe the relationship between the various types of deposit volatility, and combining with POT model build Copula-POT deposit volatility integration measurement model to measure rural commercial bank’s internal liquidity risk. Finally, the measurement results of the two models are compared, and it show that only using POT model overestimating deposit volatility, Copula-POT integration measurement model is superior to the POT model.