Study Of Liquidity Risk Stress Tests Of Commercial Banks Under Impact Of Asset Price

After the outbreak of the international financial crisis in2008, liquidity risk management and regulatory are attached great importance to by all countries in the world. The financial crisis originated from the US subprime crisis, highlighted the asset price fluctuations on the impact of the commercial bank liquidity risk. In order to maintain financial system stability, we must strengthen the management of liquidity risk. Stress testing as complement of the VAR model, along with its emergence and development, Banks or regulatory authorities can based on circumstances of history and supposed conduct banks’liquidity risk analysis, research the potential impact of the extreme situation of Banks, which are indispensable tools of bank liquidity risk management. Therefore, in this paper by constructing the relationship between bank asset price volatility and liquidity risk model, and on this basis liquidity risk stress testing system is established.In this paper, firstly, we try to build the VAR model that includes some variables such as the one-year lending rate, the Shanghai Stock Exchange Composite index, Shanghai interbank offered rate, the legal deposit reserve ratio which influence factor of asset price volatility and bank cover rate. Then, we take methods such as the cointegration test, impulse response function and variance decomposition analysis to study the effect of asset price fluctuations on bank liquidity risk. Research results show that the Shanghai Stock Exchange Composite index and the legal deposit reserve ratio impose great influence on bank cover rate, the effect of Shanghai interbank offered rate is inferior and the effect of the one-year lending rate is minimum. And both of the Shanghai Stock Exchange Composite index and Shanghai interbank offered rate have the significant positive effect, the legal deposit reserve ratio and the one-year lending rate have the negative effect, but the one-year lending rate is not significant.Secondly, this article selects the co-integration equation as a stress testing model, by means of historical data to construct the extreme situation, research the consequences for Banks under the extreme fluctuations of the Shanghai Stock Exchange Composite index, Shanghai interbank offered rate and the legal deposit reserve ratio.Based on the previous research, this paper proposed some advices for the management of liquidity risk. Firstly, extend the approach of financing, and alleviate the financing pressure of stock market. Secondly, properly control the frequency and time to adjust the reserved rate of storage. Thirdly, cautiously evaluate the effect on liquidity risk which is made by other risk, and implement the comprehensive risk management. Fourthly, establish the institution of the liquidity risk stress testing.