Research On The Measurement Of Chinese Commercial Banks’ Liquiditv Risk And Its Influential Factors

With the liberalizing of the financial environment, China’s commercial banks entered a new development of the field. At the same time, it is also the hitherto unknown challenge and competition. The measurement and management of liquidity risk is always the key and difficulty in the research of commercial banks. Enhancing the management of liquidity risk is an important task for commercial banks.The theoretical part of this paper mainly introduces the definition of commercial bank liquidity risk, and widely used measurement methods of liquidity risk, including static measure method, dynamic measure method and the measure method of metrology.This paper selects loan deposit ratio and deposit structure as the commercial bank liquidity risk factor, using Copula-kernel model and Monte Carlo simulation method to measure the liquidity risk in China’s commercial banks. The impact of deposit structure risk factor for the liquidity risk is greater than the deposit and loan risk factor; VaR and ES under the Copula-Kernel mostly are less than the values under historical simulation.By means of the theory of Copula, we fit the liquidity risk of stock market and funding market, in order to more accurately measure the external liquidity risk of commercial banks. The main conclusions are:the liquidity risk of bank stock market is smaller than the funding liquidity risk, and its impact on the external liquidity risk is smaller as well; large state-owned commercial banks, except Construction Bank, external liquidity risk is significantly higher than the national small and medium-sized commercial banks; External liquidity risk of commercial banks is different.We use the panel data model to analyze the impact of factors on liquidity risk of China’s commercial banks. This part selects internal and external factors of bank liquidity risk, draw the following conclusions:the internal factors of commercial bank and liquidity risk are closely related, and the influence degree was significantly higher than that of external factors; commercial bank liquidity risk has a negative correlation with cash to total assets ratio, the capital adequacy ratio, average income rate, GDP and external liquidity risk, while it is positive with equity to total assets, the proportion of the banking annual turnover.Finally, we summarized the conclusion of this paper, and put forward the problems and prospects in the research.