| The global financial crisis triggered by the subprime debts is not go away, the global economy fell into another round of panic, as Greek and EU countries debt crisis broke out, which impact the global real economy, the European go to liquidity shortage severe. It is not difficult to find the importance of liquidity for the financial system from a number of economic crisis, especially in the economic downturn, liquidity risk could cause some countries bankruptcy. So many economic crisis gave us a sharp warning of the importance of sound liquidity risk management and regulatory. Dominated indirect financing in China, commercial banks, as the main financial intermediaries, assume the important task of providing liquidity to the financial system, due to its high debt ratio, in particular, should focus on the importance of liquidity risk management. Several financial crisis also has brought some impact to our country, but the as Chinese monetary policy and real economic growth, China’s macroeconomic reflect the liquidity surplus with the structural shortage, therefore, strengthen liquidity risk management of commercial banks in China have great practical significance. November12,2010, Seoul, Korea, the G20summit agree on a series of documents of the Basel Committee on strengthening banking supervision, collectively referred to as Basel Ⅲ, China’s banking supervision department corresponding put forward to strengthen liquidity risk management related documents, in a bid to strengthen the security of China’s commercial banks’ liquiditySecurity, profit, liquidity is the three main principle of the commercial banks, which liquidity can be an effective combination of security and profit. When commercial bank liquidity squeeze, economic system is prone to panic, bank’s ability to pay may be questioned, even cause a run on behavior within the financial system, which led to huge losses and even bankruptcy. Excess liquidity, means funds is not used sufficiently. It will produce high opportunity costs and the profit was diluted. Thus, the management of liquidity is an important work of the commercial banks. Liquidity risk is result of credit risk, market risk, operational risk accumulated to a certain degree.The main content consists of six parts:The first part is introduction, which introduces the background and significance of the topics. After a detailed description of the commercial banks’ liquidity risk management review, we focus on foreign research results and the domestic status quo.The second part is the Basel Ⅲ. After a brief introduction of the Basel Ⅲ background, the specific content of the new protocol is introduced in detail. Firstly, agreement has been reached to improve the quality of capital, strengthen the capital structure, a minimum core capital requirement from2%to4.5%,core capital ratio from4%mentioned6%, an increase of retention and counter-cyclical capital buffer of capital, leverage is limited to more than3%. Secondly the new agreement introduced two basic indicators, liquidity coverage and net stable funding ratio, to prevent liquidity risk. Finally, according to the transitional arrangements, all of the requirement mast be done before2019.The third part is Chinese commercial banks’ liquidity risk status quo. Start with the concept of liquidity risk, commercial banks’ liquidity risk is the risk that banks cannot obtain funds at a reasonable cost in the short term to meeting its debt obligations (such as escrow depositors) and others such as loan guarantees or liabilities of the commitments resulting from the risk of potential loss or bankruptcy. Then analyze the situation, loan ratio declining reflected excess liquidity in banks, but it is difficult to conceal commercial banks face liquidity risk all the time:non-performing loan rate high, the structural imbalance of balance sheet. Sufficient liquidity for commercial banks also means high costs and gives birth to the economic over-expansion foam. Large state-owned commercial banks operate well when many small and medium-sized commercial banks’ liquidity risk increase prominently. Accompanied by a comprehensive opening up of China’s financial sector, foreign banks have set their branch in China, and the competitive pressures increase significantly, which bring great challenges to domestic commercial banks.The fourth part is our commercial bank liquidity risk causes. Endogenous factors include structure mismatch and risk transformation. Exogenous factors include runs, the rise of financial market. Small and medium-sized commercial Banks’ liquidity risk also have their own reasons. Then we took empirical research about ICBC to analyze the impact of liquidity risk factors. ICBC as one of four state-owned commercial banks, has a pivotal position in China’s banking sector. Select ICBC as a case can be effectively representation of Chinese commercial banks.Part Ⅵ is conclusions and policy recommendations. First we introduce the implementation of the Basel Ⅲ in China, on April27,2011, China Banking Regulatory Commission issued guidance on the Chinese banking sector to implement new regulatory standards. What followed by is analysis of the impact of the implementation of the Basel Ⅲ on the liquidity of commercial banks in China, as speed up banking sector refinancing process or reduce the possibility of a liquidity crisis and restrict banks to pursue a unilateral expansion of asset size. Finally, we give policy recommendations as follow, reform and improve relevant laws and regulations, improve asset structure and enhance liquidity.In addition, this paper still have many shortcomings of:In the process of doing empirical research, due to limited data, the selected period is not long enough, the statistical properties of the model is not very satisfactory, there are two indicators insignificant and a certain degree of multicolliearity. For my limited knowledge and materials, there exist many some mistakes need to improve. I hope experts could give me some criticism and directions, in order to do more fully research in future. |
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