The Research Of Our Commercial Bank’s Liquidity Risk Management Based On Basel Ⅲ

The “Basel Agreement” puts forward the LCR and NSFR to monitor the commercial banks’ liquidity level, paying attention to the liquidity risk from short term and long term. After the Money Shortage, China Banking Regulatory Commission(CBRC) has set forth a series guides such as ‘The Commercial Banks’ Liquidity Guide’, setting up the Deposit Deviation to revise the Loan-to-Deposit Ratio and supervising commercial banks’ liquidity risks. Based on the new history, commercial banks’ liquidity risk has become the common topic between the academic and practical circle.The paper hopes to study our commercial banks’ liquidity management in present historic background. Firstly, the paper discusses the domestic and foreign documents about commercial banks’ liquidity risks, finally putting forward the paper’s studying point. Secondly, it analyzes basic theories of commercial banks’ ALM and Liquidity Risk Management. The third part compares the supervision indexes and monitoring tools between the Basel and our commercial banks’ liquidity risks’ guides, and proposes the present supervision indexes of our commercial banks, finally determining this paper’s variables and choosing 17 commercial banks to study liquidity risks’ current situation from the whole and its parts. The forth part is this paper’s positive analysis. It divides the commercial banks into two parts based on the systemic importance standard, selecting the panel data from 2006 to 2013. Then, the paper conduct the stress testing to study the liquidity risk’s early warning mechanism. Finally, it puts forward our commercial banks’ liquidity risks’ policy suggestions from the indicators, the commercial banks and the regulators.