Research On Stress Testing Of Commercial Banks' Liquidity Risk

Under the background of the two events of "Money Shortage" in 2013,American subprime mortgage crisis and European debt crisis, liquidity risk has caused more and more attention from Chinese commercial banks. The management of liquidity risk needs to be solved urgently. As the Financial Regulatory Authorities issued a series of policies about liquidity risk of commercial bank, stress test has become an important method for measuring the liquidity risk.Based on the situation of implementing stress test domestic and overseas, the problems appeared during conducting the stress test in China will be analyzed in this paper, then put forward some feasible suggests on domestic stress test implementation combining the current situation of implementation overseas. By analyzing the liquidity influencing factors inside and outside the bank, we choose 11 liquidity risk factors as independent variables in the regression equation. Through a comprehensive comparison of all commercial bank liquidity measure, we select the liquidity gap as the dependent variable. Then use stepwise regression analysis method to multiple regression, in order to get an optimal equation. Finally, to conclude, there are five liquidity risk factors play a significant role on the dependent variables: rate of return on common stockholders' equity, load-deposit ratio, the growth speed of GDP, liquidity ratio and the capital adequacy rate. The liquidity risk stress test models of long-term and short-term was built based on pressure test scenarios.What's more, this paper will take Shanghai Pudong Development Bank (SPDB) for example and use the data of 2007 to 2013 to Through scenario analysis, pressure testing model built in this papre was used to analyze the liquidity risk situation of banks and the pressure they undertake through scenario analysis. In the end, some proposals aiming to improve the stress test of liquidity risk domestic will be presented.