Research On Liquidity Risk Macro Stress Testing Of Chinese Commercial Bank

The causes of commercial banks'liquidity risk are complex, macroeconomic changes is a key cause of the occurrence of the banking system liquidity risk. Using macro stress testing methods, using the scenario analysis to build the scenario of extreme pressure on the macroeconomic, using the empirical mode decomposition method for specific pressure value, perform stress tests to get the change of deposit ratio of the banking system under stress scenarios. The study includes the following aspects:Firstly, sorting and analyzing relevant literature of liquidity risk, define the connotation of liquidity risk. On this basis, analyzing the intrinsic and extrinsic reasons for liquidity risk of the commercial bank system, and comparing the ways of bank liquidity risk regulation, find that macro stress testing is a promising regulation methods. Then sorting and analyzing the research of macro stress tests, comparison type and processes of macro stress tests, combined with the characteristics of Chinese macroeconomic under the "new normal", discusses the effective of macro stress testing on the commercial banking system's liquidity risk monitoring.Secondly, combined with the existing regulatory indicators and the new regulatory ideas provided by the "Basel III", splitting the loan-deposit ratio into short-term deposits, long-term deposits, short-term loans and long-term loans as the commitment pressure indicators of the macro pressure test and associated with nine macroeconomic variables as pressure indicators according to economic theory, get stress test model by stepwise regression.Thirdly, analyzing the correlationship of nine macroeconomic variables, setting industrial added value growth as a key indicator to build the model of stress scenario. Using empirical mode decomposition method divided the waveform of industrial added value growth rate into seven intrinsic mode, re-synthesis them in long-term trends, mid-term impact and short-term fluctuations three parts. Then find the biggest shock of industrial added value growth rate in history and add the wave on the long-term trend's next term, and get three different levels of pressure surges, then design the extreme stress scenarios.Finally, to implement the stress tests. Concluded that with the increase of the macroeconomic pressures, loan-deposit ratio of China's banking system increased significantly, even more than 75% which is the requirements of regulator. The increase in long-term deposits are the main cause of rising loan-deposit ratio, which means that the mismatch of deposit and loan term of commercial banks will be more severe, and more serious liquidity risk.