Study On The Dynamic Management Method Of Liquidity Risk Management Based On The Framework Of Basel ?

The global financial crisis in 2008 exposed that the awareness of the commercial banks' liquidity risk in the current banking regulation system is in a serious shortage, and that the banking system lacks the early warning mechanism to prevent the potential liquidity shocks from leading catastrophic damage. Under the background of the crisis, the Basel committee, established two new quantitative regulation indicators-a liquidity coverage ratio (LCR) and a net stable funding ratio (NSFR) in 2010, representing the first time that quantitative standards for liquidity risk have been set at a global level.This paper compares the definition and the measurement of the traditional liquidity indicators and the two new indicators, finding that the LCR and the NSFR is suitable for the stress testing. Consulting the measurement in the IMF's financial stability report, this paper estimates the listed Banks' NSFR level from 2007 to 2014, and compares with other existing liquidity indicators to get a comprehensive analysis of the current situation of the banks' liquidity. On this basis, this paper uses impulse response analysis method to simulate the dynamic relationship between NSFR and the various influence factors to do the sensitivity analysis, and screens the sensitive influential factors as the impact factors of liquidity pressure test model. It shows that the deposit and lending differential interest rate is the most sensitive, followed by the legal deposit reserve rate, the interbank lending rates, but less sensitivity to capital adequacy. Based on the selected four liquidity risk factors and the NSFR ratio, this paper constructs a panel regression stress test model and finds out that under extreme stress scenarios, the liquidity situation of state-owned banks, joint-stock commercial banks, city commercial banks has large differences. The commercial banks'potential liquidity risk is big, and the liquidity management autonomy is somehow weak.Promoting the implementation of the Basel ? liquidity regulatory requirements and the pressure test to enhance the level of liquidity risk management in China's banking industry and regulatory system has great significance. Based on the stress testing results, this paper puts forward related suggestions to enhance the banking liquidity risk management from both aspects of macro supervision and micro management.