Measurement Study On Liquidity Risk Under Maturity Mismatch Of Listed Commercial Banks

With the appearance of international crisis and the introduction of related national policies and documents, all the countries and banks have emphasized the importance of liquidity risk management. With the change of management environment, business model, funds source of banks in China, some commercial banks have the problems--decrease of stability of funds source, lower liquidity. Under the fierce competitive pressure, commercial banks increase so high degree of maturity mismatch of savings and loans for their own profit that the liquidity risk under maturity mismatch increases. Hence, our country faces the increasing challenges of management and regulatory of liquidity risk. With the deepening of financial markets, because of the close relationship between financial institutions, the problem of maturity mismatch of individual banks will easily cause liquidity risk of the entire banking system. Now, the problem of maturity mismatch has already been put on the regulatory agenda and our country hope to improve the management of liquidity risk under maturity mismatch.On the basis of the literature review based on source, management and measure of liquidity risk, the essay applies the theory of liquidity risk management and the theory of maturity match to study the performance and causes of commercial banks’ maturity mismatch. The causes of maturity mismatch are from three aspects--institutional level, short-term funding level and long-term loan level. Then, the essay analyzes the relationship between maturity mismatch and liquidity risk from two perspectives of time dimension and institutional dimension and analyzes the maturity mismatch of15listed commercial banks and uses HP Filter Method to measure liquidity risk under maturity mismatch. Finally, the essay uses the samples of15listed commercial banks beween2006Q4and2014Q2to analyze the internal and external factors.In conclusion, the main performance of commercial banks’ maturity mismatch is increase of short-term funds and long-term loan of listed commercial banks.the banks’ internal factors have more influence than external factors and provides related polices for management of liquidity risk under maturity mismatch.