Research On Liquidity Risk Management Of Commercial Bank System In China

In2008, the US subprime mortgage crisis broke up and developed into the global liquidity crisis quickly, resulting into huge losses of the global banking industry and long-term slump of macro economy. This liquidity crisis with widespread influence, made the liquidity risk which is characterized by concealment and abruptness became the focus of the public. The liquidity of banking system has a dual nature. On the one hand, it refers to the liquid assets held by the banking system; on the other hand, it refers to the banking system’s ability to raise enough money to meet debt payments and assets growth. The liquidity of banking system and the economy are closely related. Undoubtedly, the liquidity risk of the banking system is of great significance to study.Because of the government’s recessive guarantee, the commercial bank system hadn’t paid enough attention to the liquidity risk. The destructive power of the subprime crisis made the commercial bank system in China begin to focus on the liquidity risk management. Regulators also had issued a series of policies of liquidity risk management, however, the effective liquidity risk management techniques hadn’t gotten the promotion.In view of the situation, according to the three steps of risk management-recog-nition, measurement and control, the liquidity risk management of the banking system was studied. Mainly as follows:Firstly, this paper narrated the views of the domestic and foreign scholars about the liquidity risk and divided the views into three categories according to the liquidity risk recognition, measurement and control. Then, this paper defined the liquidity risk of banking system, recounted the development course of the liquidity risk management theories and the latest rules of Basel committee on the liquidity risk management, expounded the forming process of the banking system, analyzed the internal and external factors that affects the liquidity risk of commercial banking system. Once again, analyzed the internal factors that affects the liquidity risk of commercial banking system, the commercial banking system of China, for example, set up the ratio of the total amount of interbank lending to measure the correlation between banks, chose the liquidity risk supervision indicators used by the banking regulatory institution and the ratio of the total amount of interbank borrowing to construct the weighted index to measure the liquidity risk of the commercial banking system in China, then analyzed external factors that affects the liquidity risk of commercial banking system, on this basis, under the four different pressure strength, this paper chose the macro risk factors which are closely related to the liquidity risk of the commercial banking system in China, to perform the macro stress test of the commercial banking system. Finally, based on the rcscarch result, in view of the defects of China’s commercial banking system liquidity risk, in both the micro and macro aspects, the suggestions of improving the level of liquidity risk management were given.