The Relationship Between Liquidity Risk,Credit Risk And Bank Stability Of Commercial Bank Based On Basel Ⅲ

Following the 2008 global financial crisis‘s effecting, how to supervise banking risk effectively has become a difficult problem in supervisory authorities. Many countries issued its Basel Ⅲ based on the international Basel Ⅲ which issued in 2010. We studied the status quo of the Basel Ⅲ implementation in many countries, such as American, European Union and Japan. Then we concluded that China should be improved in the following aspects. First, based on the guarantee of the stability of banking industry, we should encourage banks to creative financial tools in the capital market to avoid the likeness of tier 1 capital and the core tier one capital. Second, we should make differentiation regulation for the different sizes of commercial banks, the regulation of "one size fits all" model, make small and medium-sized banks have larger capital burden and cost burden due to meet regulatory requirements, and it will restraints the growth and expansion of banks’ profits. Last, following a number of listed banks in China adopts advanced risk measurement metrics, We should have the awareness of risk management gradually penetrated into daily management activities of the bank. At the same time, we should improve the bank’s risk management framework, culture and system.On the basis of studying all version Basel Ⅲ, this paper focus on empirical research on the China Basel Ⅲ in the regulation of liquidity risk and credit risk. Our aim was to determine the rationality of two kinds of risk’s supervision based on China Basel Ⅲ through the empirical studying. We adopted the 2008-2015 quarterly data of 14 listed Banks in our country, and established Panel Vector Autoregressive(Panel- VAR) model to study the relationship of liquidity risk and credit risk, then we also examined the effect on the stability of the two kinds of risk. Results show that. First, credit risk depends on the liquidity risk, but the dependence-degree of liquidity risk to credit risk is too little to identify. Second, overall liquidity risk and credit risk has a positive correlation, but the liquidity risk of the positive influence of credit risk is bigger. Last, Liquidity risk and credit risk joint impact on bank stability, and this effect is deeper than the separate influence. From what has been discussed above, we suggest that the Chinese authorities should pay attention to the risks joint effect. It needs set aside additional capital to guard against the joint effect.