Research On Liquidity Risk Assessment Of China's Listed Commercial Banks

In recent years,the promotion of financial deleveraging,the acceleration of interest rate liberalization and the improvement of capital market reform have limited the source of funds for commercial banks to some extent.At the same time,in an environment of slower economic growth,there is a growing risk of instability that could trigger liquidity risks.Considering that liquidity risk is extremely destructive and contagious,once it happens,it will cause great harm to the entire financial system.Therefore,from the perspective of the current practical environment,it is of great significance to strengthen the liquidity risk management of commercial banks for the safe operation of the financial system.In this paper,40 commercial banks listed in A-share and H-share markets were selected as research samples,and listed commercial banks were classified into four categories according to the categories of state-owned banks,joint-stock banks,urban commercial banks and rural commercial banks,set up panel regression models to conduct stress tests of four types of banks,inspect all kinds of banks' liquidity risk bearing ability and sources of liquidity risk.On this basis,factor analysis was carried out on the sample banks,explore all kinds of problems in banking liquidity risk management.Panel regression and stress test results show that China's listed commercial banks have strong liquidity risk bearing capacity on the whole,but the four types of banks have different sources of liquidity risk.When state-owned banks are under severe pressure,the decrease of inter-bank interaction terms,the increase of statutory reserve ratio and broad money growth,and the slowdown of deposit growth will lead to the liquidity ratio below the regulatory threshold.When joint-stock banks are under severe pressure,deposit growth slows down,inter-bank interaction terms increase,capital adequacy ratio decreases and broad money growth increases,which will lead to serious liquidity risks.Urban commercial banks still maintain a high liquidity ratio under severe pressure,but the liquidity ratio is very sensitive to the decline of deposit growth rate and the increase of inter-bank lending rate,which is a potential source of risk.In the case of severe pressure,rural commercial banks generally maintain a high liquidity ratio,but the increase of their non-performing ratio,loan growth rate and cost-income ratio will significantly reduce the liquidity ratio.In order to further study problems of four types of banks'liquidity risk management,this paper adopts factor analysis method and constructs a factor model to classify the specific factors affecting liquidity risk into six factors,including comprehensive factor,term structure factor,business performance factor,risk resistance factor,financial robustness factor and liquidity reserve factor.Factor scores of the four types of banks were ranked to analyze the problems existing in the liquidity risk management of various banks.The results of factor analysis show that the ability of state-owned banks to predict and hedge policy risks needs to be improved.The liquidity risk of joint-stock banks mainly comes from the inter-bank liabilities.The liquidity risk of urban commercial bank mainly comes from the dependence of deposit growth rate and inter-bank liabilities.Liquidity risk of rural commercial banks mainly comes from high non-performing loan ratio and operating cost.Combined with the results of stress test and factor analysis,this paper proposes countermeasures and suggestions for the liquidity risk management of users from the perspective of commercial banks and regulatory departments,aiming at the source of liquidity risk and the existing problems in the management of all kinds of listed commercial banks.State-owned banks should strengthen the macro policy risk prediction and management.Joint-stock banks should optimize their liability structure and expand stable capital sources.Urban commercial banks should increase the income of intermediate business and reduce the income dependence of deposit and loan interest margins.Rural commercial banks should strengthen the loan management mechanism and reduce the non-performning loan ratio.Regulators should implement dynamic and differentiated regulatory policies and improve the stress test management system.