Research On The Liquidity Risk Of Commercial Banks In China Based On The New Basel Accord ? System

Bank of England was founded in 1694. which marked the birth of modern commercial banks. Due to the industry specificity of commercial banks-that they provide liquidity in financial intermediation services-liquidity risk arises. Throughout the previous outbreak of the global financial crisis, even in the case of capital adequacy, because of the invisibility, infectivity and additivity of the risk, the economy can be quickly reversed from a surplus state to tightening state, leading to the occurrence of severe liquidity crisis. To fight against the evolving and deepening liquidity crisis, many countries and international organizations have established new international standards and regulatory frameworks which help enhance the liquidity risk management.China's commercial banks have participated in the global competition, so we must follow the relevant international rules, and face a full range of opportunities and challenges, among which the liquidity risk is one of the key risks. Starting from the research on theoretical literatures of liquidity risks, this thesis provides an overview of the causes, classification, theories and trends of commercial bank liquidity risk. It introduces the overall risk management framework and latest indicator system for liquidity risk management in Basel Accord, which is followed by global financial institutions. The thesis also illustrates the contributory factors and governance structure of commercial banks liquidity risk by learning from advanced liquidity risk management experience of foreign countries and combining them with China's commercial banks'liquidity risk management theories and practice. By extracting the historical data of China's commercial bank, doing quantitative estimation of Liquidity Coverage Ratio(LCR) and Net Stable Funding Ratio(NSFR) for resisting short-term and long-term liquidity risk of commercial banks, and using the panel data model method to empirically examine the micro and macro factors that influence LCR and NSFR, this thesis discusses the feasibility of using the new index system to better predict the liquidity risk and the importance of the related contributory factors. It also provides concrete measures and suggestions about how to prevent liquidity risk, which could be referred by regulatory departments when making policies.To enhance the sensitivity, perspective and effectiveness of liquidity risk management of China's commercial banks, we need to further improve the liquidity management index system and other supporting policies. It is of vital importance for the commercial banks to continue to explore the practical management of liquidity risk in new situation and new environment, and to deal with new challenges.