The Research On Liquidity Risk Management Of A Commercial Bank Based On Stress Testing

With the outbreak of the global financial crisis in 2008,commercial ban ks’ liquidity risk draws people’s attention day by day. With the gradual deepening of China’s financial reform,the entry of private capital which leads to the degree of opening of the financial markets further improved,as well as the continuous expansion of the scale of China’s commercial banking business,commercial banks are facing increasingly serious threat of liquidity risk.Therefore,how to accurately measure liquidity and solve liquidity problems of commercial banks has become an important problem in the banking sector. For a long time,due to the country’s recessive guarantee,China’s commercial banking system is in a relatively favorable position on the risk control,so the supervision organizations and commercial banks pay insufficient attention on liquidity risk. The significance of commercial banks is that it can provide necessary liquidity to the economic system,and generally the liquidity of commercial banks should not be depleted. However,when liquidity dry up,a risk of commercial banks run may occu r. As a matter of fact,a method of stress testing is an effective way to investigate the loss which risk event that may occur in extreme circumstances result in,and it is possible to assess and predict the economic variables impacting on the commercial banks’ liquidity risk. Meanwhile,at the time when economic variables changes abnormally,it can be a good estimate of the extend to the liquidity risk which commercial banks may face.Supervision organizations and commercial banks put increasing emphasis on liquidity risk management,and in this thesis,systematic research has been carried out for the commercial banks’ liquidity risk management using stress testing. The research background,objective and significance,as well as overseas and domestic research status was illustrated initially. Secondly,the related concepts of liquidity risk management in commercial banks and stress testing were introduced to lay the theoretical foundation of this thesis. Based on this,the characterization, origin and manifestation of liquidity risk management in commercial banks were analyzed. Furthermore,the research on liquidity risk management in commercial bank A was carried out with the application of stress testing,making its implementation much easier to be understood. During the implementation process,according to the collected historical data of bank A,risk factors were selected,stress models were built,scene shocks were conducted,and the liquidity risk status of commercial bank A under the stress impact was observed to identi fy their weak points and carry out corresponding measures.Finally, combined with the results of stress testing,suggestions to improve the liquidity risk management of commercial banks and stress testing were put forward.