The Research On Liquidity Risk Measurement Of Chinese Joint-stock Commercial Banks Based On Presure Test

Liquidity risk, an important factor in the risk management, exists in the operating process of commercial banks. Therefore, how to measure and avoid the liquidity risk becomes a deep-rooted problem for today’s banking industry. Due to the government’s implicit guarantee, risk management system of China has worked well, while liquidity risk management has not been attached great importance by the authorities and commercial banks. The very first obligation of commercial banks is to provide the necessary liquidity for the economy. Generally speaking, the liquidity of joint-stock commercial banks cannot be exhausted. But when liquidity dries up, joint-stock commercial banks face risks. Pressure test, as a method to assess and predict the effect of economic variables on joint-stock commercial banks, can measure the loss of possible risk events in extreme cases. At the same time, when the economic variables have changed, pressure test can also estimate the liquidity risk of joint-stock commercial banks.First, this paper introduces the background, the goal and significance, domestic and international research trends, the thought of this research and basic framework. Then, the relative concepts and theories of commercial bank’s liquidity risk management will be presented. Secondly, this paper analyzes present situation, characteristics and classification of joint-stock commercial banks liquidity risk, and main influencial factors of joint-stock commercial banks liquidity risk. Again, this part measure joint-stock commercial banks liquidity risk by pressure testing method. Through grey correlation analysis, pressure testing model can be constructed by the three most important factors. By setting the economic variable pressure scene, the correlation pressure testing and Monte Carlo simulation pressure testing can be applied to measure the liquidity risk. The joint-stock commercial banks liquidity risk will increase in accordance with economic variables’abnormal movements. Finally, based on above results, this paper proposes advices to consummate joint-stock commercial bank liquidity risk pressure from three aspects:reasonable construction pressure test model, reasonable use of pressure testing results and wide promotion of pressure test.