The Study Of The Liquidity Risk Stress Of Commercial Banks

The principle of three principles" as the basic principle of commercial bank management,refers to security,liquidity and profitability.The liquidity risk of commercial Banks is presented as a risk result,which has a great relationship with the sustainable operation of commercial Banks.Commercial bank liquidity risk stress test is a kind of quantitative analysis of the commercial Banks in the face of the extreme cases will liquidity crisis,the method of testing of commercial bank's ability to withstand extreme situation,is a forward-looking analysis method,has a very good prediction effect on liquidity risk.In 2008,the occurrence of the subprime mortgage crisis in the United States increased people's vigilance against liquidity risk,while China's commercial Banks paid more attention to liquidity risk due to the two "money shortage" events in 2013.Liquidity constraints do not have a significant impact on the macroeconomic environment and the environment in which financial markets operate,but in extreme cases,a liquidity crisis can be triggered.Just as a whole,our country commercial bank is only in some index achieves the regulatory standards of the China banking regulatory commission,but ignored the certain extreme cases of hidden a liquidity crisis,the banking system liquidity risk management is not very perfect.In order to make our commercial Banks more stable development and management,we need to pay attention to the research on the liquidity management of commercial Banks.In this paper,on the basis of the research at home and abroad,through the qualitative analysis with quantitative analysis,combined with the economic environment and the internal structure,analysis the influence factors of our country commercial bank liquidity risk.Then the indicators related to the influencing factors are investigated to reflect the current situation of liquidity risk in China's commercial Banks.Collect relevant data,analyze the bank's liquidity ratio,short-term and medium-and long-term loan ratio,non-performing loan ratio,deposit and loan ratio,etc.Then select from 2010 to 2017,15 listed commercial bank semi-annual data,establishing the model of the banking system liquidity risk stress tests have significant effect on liquidity risk of risk factors,has the legal deposit reserve rate,in the external macro interbank rates,inside the bank have non-performing loan ratio,LDR and non-interest income.After that,the factors that have significant influence on the liquidity ratio were selected as risk factors,and the risk factors were set and brought into the test model to carry out the stress test.It is concluded that the more influence the liquidity of commercial Banks is the macro environment of monetary policy and market interest rates,and the bank internal factors such as the non-performing loan ratio,LDR,and non-interest income on Banks' liquidity effect is relatively small.It also shows that commercial Banks have little autonomy in their own liquidity management,which is more influenced by the macro environment than the factors they can control.According to the test results,this paper puts forward Suggestions for the two aspects of macroscopic and microscopic,macroscopic aspects: monetary policy adjustment should be moderate,at the same time using a variety of monetary policy,to coordinate all kinds of the result of a policy,to maximize the effectiveness of this policy;We will improve the market supervision system and strictly monitor various indicators.Micro aspects: strengthen the risk stress test and improve the bank's autonomy in the management of its own liquidity;Optimize the assets and liabilities structure of commercial Banks and improve asset quality;Expand the source of funds and optimize the deposit and loan structure.