An Study On The Effect Of Credit Asset Securitization On China Commercial Banks Liquidity Risk

In the late 1970 s, In order to solve the commercial bank liquidity risk, there is a trend of credit asset securitization appeared in the United States and other developed countries. The tool through the reorganization of assets to resolve the pressure of financial operation of commercial banks, enhance the liquidity of credit assets, and improve the yield. At this stage, China's banking financial institutions are facing tremendous pressure, such as the rapid growth of money and credit, asset liability maturity mismatch, the liquidity risk of credit assets, domestic economic leverage and so on. Combined with the current situation of China's financial market,the implementation of credit asset securitization is conducive to adjust the credit structure of commercial banks to control liquidity risk, and achieve the effective allocation of financial resources.According to the Basel and the relevant regulatory requirements of CBRC(China Banking Regulatory Commission), now the liquidity risk of commercial banks in China is still in the controllable range, but there are several hidden dangers. It is a practical problem that needs to be solved urgently in theprocess of financial innovation and development that how to make better use of the new financial instruments to prevent and dissolve the liquidity risk of credit asset securitization.In this paper, firstly, weintroduce the related theories of liquidity risk management of commercial bank, it analysis of the securitization of credit assets of commercial banks liquidity risk the influence mechanism from solving the maturity mismatch, reducing the proportion of assets and liabilities, non-performing assets specifically. Secondly, combined with the current situation and impact of the credit asset securitization in China, it is helpful to reduce the liquidity risk of commercial banks in china. Based on the theory and the realistic analysis, choosing quarterly data from 2007 to 2015 of 16 listed commercial banks in China, selecting the related indexes on behalf of the commercial bank liquidity risk and credit assets securitization to construction index system, using panel vector autoregressive model(PVAR model) for empirical research. The result shows that credit asset securitization can help commercial banks to reduce liquidity risk.Finally, according to the theoretical analysis and empirical research conclusions, we put forward the countermeasures and suggestions to give adequate advantages to the role of credit asset securitization, structure the credit asset securitization risk prevention system and reduce the liquidity risk of commercial banks.