An Empirical Study Of The Stress Test In Chinese Commercial Banks’ Liquidity Risk Management

The bursting up of U.S. Mortgage crisis in2007, highlighting the threat of extremeevents on bank stability, attracting the eyesight of the world’s financial institutions andregulatory authorities to stress testing. China Banking Regulatory Commission started toconcern about Stress Testing just in recent years, firstly emphasized in market andexchange risk pressure test. Then came up with the "Commercial Bank Liquidity RiskManagement Guidelines" in2009to prominent the importance of liquidity risk in bank’srisk management. As an auxiliary tool of VaR, stress testing can make up the deficienciesof VaR in risk management. Although liquidity risk is the risk commercial banks mustconcern about, Stress Testing mostly applied to market risk other then liquidity risk. Tomaking up this shortage in bank risk management, this paper systematically introducedthe status, theories and researching method on the liquidity stress testing of commercialbank. Then carrying out several Chinese banks’ empirical analysis on the liquidity stresstesting, and finally put forward some of the recommendations in promoting liquiditystress testing in China commercial banks.As an important part of china’s economy, the real estate industry attracts a largenumber of bank funds. In oder to prevent the formation of the kind of Japanese RealEstate Bubble, the Chinese government introduced a varieties of policys to guide thedevelopment of real estate.Particularly, the introduction of property tax policy in2013will have an enormous impact on house prices, which will further impact the stability ofthe commercial bank. As to this, the change of real estate price is an important variablefactor in the Chinese commercial bank liquidity stress model. Finally,based on theempirical results, this paper will focus on the measures to prevent the liquidity crisiscaused by the change in real estate prices.