The Research On Liquidity Risk Management Of Listed Commercial Banks In China Based On Stress-testing

On June20,2013, the bank overnight repo rate up to an unprecedented30%,7day repo rate up to28%. In recent years, a long time, these two rates are often lessthan3%. Panic crisis is not only the money for the capital market of the secondarymarket of the larger impact that the Shanghai composite index one-day fall more than5%, but also the primary market, only on June20th, there are four issuer’sannouncement, announced plans to delay or change the bond issue. The crisisillustrates the commercial Banks of our country to some extent to escape financialregulation, improve competitiveness and meet its own interests, often ignored whenBanks in management and product design risk and liquidity principle, through theoff-balance sheet business and way to put money into a lot more illiquid real estateand government on the infrastructure construction of platform development, lead tobank assets exist obvious tendency of\"credit curingFrom commercial Banks liquidity risk definition, this paper lists the evolutionprocess of commercial Banks liquidity risk management theory, this paper introducesthe main management method of commercial bank liquidity risk. From thecommercial bank assets and liabilities of the micro structure and the external macroenvironment comprehensive analysis our country commercial bank liquidity risksources, and then to the LDR, the liquidity coverage ratio and liquidity ratio threeliquidity risk evaluation index. According to the sources of risk, the influence factorsof selected eight representative grey correlation analysis with commercial bankliquidity ratio, and the correlation between the size of finished sorting, choose thecorrelation is larger risk factor. The liquidity ratio and equity ratio was establishedbased on multiple regression, the legal deposit reserve rate, the relations betweeninterbank lending rates, it is concluded that the commercial bank liquidity and equityaccounted for and interbank lending rates of positive change, and a reverse changelegal deposit reserve rate.In creating liquidity ratio and equity ratio, the legal deposit reserve rate,interbank lending rates of the three, on the basis of the relationship between thesensitivities of16listed Banks are pressure test and scene test, stress test results showthat the liquidity of listed Banks in our country overall is good, with25%of theregulatory requirements of liquidity ratio has certain buffer. Combined with the resultof pressure test and effect of the trend of the commercial bank liquidity, and the commercial bank liquidity risk management and build pressure test model putsforward related Suggestions.