Research On Liquidity Risk Evaluation Of China’s Commercial Banks

In2007,the subprime crisis broken out and U.S. banking fell in the crisis of liquidity. TheLehman Brothers and Washington Mutual Bank all went bankrupt for the severe lack ofliquidity. The crisis of liquidity spread with the international capital flows and anticipation,and then caused “the financial turmoil”. The too lax regulatory of liquidity risk wasconsidered to be the prime cause of the financial turmoil. So the Basel Committee issued the《Basel III》and proposed the new International Framework for Liquidity Risk MeasurementStandards and Monitoring. At the same time，the liquidity risk of china’s commercial banksgradually increased. So how to prevent liquidity risk become a significant problem.The evaluation of liquidity risk is the precondition of the management of liquidity riskand also is the necessary means to the regulatory of liquidity risk. Completely liquidity riskregulatory framework is composed by three parts. So the evaluation of commercial banks’liquidity risk has significant point.The causes of liquidity risk are complex and it’s difficult to find a scientific and efficientevaluation method. Based on the thinking of the available studies, this paper chose indicatorevaluation method to establish a comprehensive evaluation model. First of all, the paperdescribed the influencing factors from macro perspective and micro perspective. Next, thepaper chose28basic indicators which included the reserve of liquidity assets、the stability andconcentration of liabilities、the maturity mismatch of assets and liabilities、the security ofassets and the ability of financing. Then, the paper used AHP to establish the comprehensiveevaluation model of liquidity risk. At last，the paper chose16listed banks as sample and tookthe model into practice.