An Empirical Study On Liquidity Risk Of Joint - Stock Commercial Banks Based On Stress Testing

The U.S. subprime mortgage crisis in2007and in2013China’s banking sector"money shortage", so liquidity risk issues of concern. With international and domesticfinancial markets to continue to develop, the banking industry is suffering unforeseencrisis, especially its operating risk Liquidity risk is more complex and challenging.Born VaR stress tests to make up deficiencies in risk management, the ability of banksto withstand extreme risk their own impact on the stress test methods of inquiry canmeasure. In2009, document requirements of the CBRC promulgated the commercialbanks should perform a liquidity risk stress tests every three months.This paper analyzes the subprime crisis and the " money shortage "phenomenon, pointed to liquidity risk associated with its problems and explain theimpact of the crisis on the banking sector, concluded that at present China’scommercial banks’ liquidity risk management is not perfect and needs to bestrengthened. In theory, first introduced liquidity risk management theory, from thebeginning of the definition of liquidity risk leads to the formation of the reasons for,and then introduces four theories liquidity management, asset management from earlyon, the transition to liability management theory, since the1970s balance hasdeveloped a comprehensive management theory, and finally in the forefront of thesheet to the current sheet unified management theory. Secondly, it introduces stresstest theory, expounded its definition, analyzing the role of stress testing in China’scommercial banks’ liquidity risk management, measurement methods briefly laststress test. In empirical terms, the technology and experience from abroad on the basisof the actual situation of China’s banking sector liquidity risk management, thestructure of the liquidity stress testing models. Second, the environment and riskmanagement for the current level of joint-stock banks in which to select raised thestatutory deposit reserve ratio of deposits caused by concentrated extract IPO, changesin prices and instant financing capacity of the risk factors, liquidity risk stress testingand to analyze the empirical results. Finally, according to the results, noting lack of joint-stock commercial banks in terms of liquidity risk management that exist, and thecorresponding improvement methods.