The Measurement And Empirical Analysis Of Chinese Commercial Bank’s Liquidity Risk

The current international financial environment is extremely complex andthe development of the global economy has more uncertain factors, the riskmanagement of financial institutions will face new challenges. The Americansubprime crisis had serious impact on the global financial markets andeconomy, and it lead to the systemic financial crisis that affect the stability ofthe global banking industry and financial market. This financial crisis remindsus to strengthen the financial supervision, and improve the commercial bank’spreventing and warning risk capacity, especially strengthen the liquidity riskmanagement. The risk management of the commercial banks in developedcountries had entered to the modeling and quantitative management phases,the risk management of banks in China are still at a low level, there are lots ofproblem in the system of the risk management, the concept and technology ofrisk management should be further improved. The liquidity risk is an importantfactor in the management process, and it affects the bank’s normal paymentability and stability. Thus, according to the actual situation of Chinese bank, weshould study the developed bank’s advanced risk management experience,and learn the lessons of the global financial crisis, measure the liquidity riskobjectively and accurately, that can provide the guarantee for the liquiditymanagement of the commercial banks, and it is meaningful for improving riskmanagement of bank.The main contents of this paper is the measurement of the commercialbank’s liquidity risk, and make the empirical analysis according to the currentspecific data. At first, this paper reviewed the domestic and foreign literature ofthe commercial bank’s liquidity risk, analyzed the causes of the commercialbank’s liquidity risk, and introduced various measurement methods of theliquidity risk, including static analysis method, dynamic analysis method andcommercial bank liquidity stress test. Secondly, this paper uses the latest dataand variety liquidity indicators to analyze the liquidity risk situation of theChinese commercial bank. It shows that the money supply is adequate in theeconomy, the liquidity of Chinese commercial bank is in good condition, but there are certain liquidity risks in Chinese bank, including unreasonable termstructure of assets and liabilities, the high concentration degree of bank credit,the causes of excess liquidity in economy is difficult to continue, the small bankare facing more liquidity pressure. At the same time it use the stress testmethod to analysis the commercial bank’s liquidity risk based on theeconometric model. It shows that the commercial bank’s liquidity reduce a littlein the mild pressure scenario, but if the economy become worsen and marketis in the severe stress scenario, the banks will face a huge liquidity risk. Finally,it gives the effective risk management policy according to the current specificsituation of the bank’s liquidity risks, such as improving the deposit reservesystem, developing the financial market, enhancing the real estate creditmanagement, and improving the structure of assets and liabilities.