Research On Liquidity Risk Measurement Of Commercial Banks Based On Improved GARCH-POT Model

The banking of China has been developed these years, it opened to other countries comprehensively. Meanwhile, there is a range more of challenges in the intensifying competition of the whole world. As is known to all, the financial crisis broke out frequently in recent years. The risks of spreading effect for all commercial banks are extremely devastating.So the commercial banks should improve on measures of liquidity risks. At present, the banks relatively adopt the static index method in controlling liquidity risk. Though this method is simple, in some extreme environments this method has defects in nature. For example, the effectiveness of risk measure would be affected under the financial crisis. And the method also ignores the correlations between various risk factors. This may lead to the fact that the bank actual risks would be overvalued.Considering the problem above, and in the process of studying commercial banks liquidity risk, this paper divides the liquidity risk effects of commercial banks into two parts:Internal and external bank liquidity risk. BEKK-GARCH-POT Model based on GARCH-POT Model which has been improved was built in this paper, So as to overcome the effectiveness of the traditional method. It also improves the accuracy of the measurement of commercial banks liquidity risk.The main contents are as follows: In first chapter, the research background, purpose and significance of this paper was introduced, so the importance of the measurement of commercial banks liquidity risk was examined. The status of the theory related to the topic of foreign and domestic scholars were also reviewed and commented, so the foundation of the method and model of this paper were laid. In second chapter, according to the core of this study which named liquidity risk of commercial banks. It defines the relevant concepts and analyzes the influence factors of commercial Banks liquidity risk. And it also considers the source of the commercial bank liquidity risk factors in multiple angles. According to the characteristics of these factors, it ensure these factors which affects the corresponding measures, including internal liquidity risk measurement index and the liquidity risk measurement index outside banks. And it also show the way to determine the appropriate measure for the size of measure indicators.In third chapter, based on the analysis of the characteristics of existing commercial banks liquidity risk measure model, combining the characteristics of commercial banks liquidity risk measure indicators data, GARCH-POT model was selected as the measure model in this paper. Considering the correlation between risk factors, the selected model was improved to build binary BEKK-GARCH-POT model. In fourth chapter, the improved GARCH-POT model, namely binary BEKK-GARCH-POT model which built in the fourth chapter was used to empirical analyze commercial banks liquidity risk of our country. BEKK-GARCH-POT was proved relatively more accurate through the test. In fifth chapter, there are some recommendations of the paper. According to the empirical results and the financial environment of commercial banks at present in our country, some suggestions of commercial banks liquidity risk management measure of China was put forward.