Research On Stree-testing Of Liquidity Risk In Domestic Commercial Banks

After the financial crisis of 2008,liquidity risk management has attracted great attention.In 2010,the Basel III proposed for the first time two global liquidity risk control indicators—Liquidity Coverage Ratio and Net Stable Funding Ratio.In 2013 and 2014,Basel Commission further revised and improved the measurement standard of these two indicators.In 2010,China Banking Regulatory Commission combined with the framework of Basel III and re-established the commercial bank liquidity risk regulatory indicators.In 2015,based on commercial bank's asset-liability structure and changes in financial markets,China Banking Regulatory Commission canceled the Loan-Deposit Ratio regulatory indicator.China's banking industry has long been subject to national guarantees,leading to the lack of initiative to prevent liquidity risk of banks.In recent years,the progress of interest rate marketization and financial dislocation have challenged the profit of traditional commercial banks and intensified competition among banks.New changes appeared in banks' asset and liability sides: the scale of bank investment assets has been expanding and the relationship between banks and capital market has been closer;Commercial banks' dependence on interbank financing is increasing,and the stability of funding sources is declining.The relationship between banks,banks and non-bank financial institutions has been closer,and liquidity risk continues to accumulate.In 2013 and 2016,inter-bank ‘cash crunch' in China has sounded the alarm of liquidity risk regulation and management.In this paper,changes in assets and liabilities of commercial banks in China are described in detail,and the impact of new changes on liquidity risk is analyzed respectively.Through the beginning of 2017,the central bank took the initiative to tighten the liquidity.This paper conducted a case study of this event and analyzed the changes in liquidity and the infection,as well as impact to the banking industry,stock market,bond market and real economy.In this paper,the latest Net Stable Funding Ratio proposed by Basel III is taken as the measurement of liquidity risk.Quarterly data of banks from the first quarter of 2008 to the third quarter of 2016 are collected.The vector error correction model was used to analyze the relationship between five indicators,which are the representations of the change in asset structure and the development of interbank business,and liquidity risk levels,their short-term shocks and long-term equilibrium equations,and selected the risk factors for stress test of the three types of banks.The empirical results show that in the long-term equilibrium relationship,Net Stable Funding Ratio of the largest five commercial banks and city commercial banks is significantly negatively correlated with the proportion of the investment assets and the proportion of the interbank liabilities,and significantly positively correlated with the proportion of interbank assets.Net Stable Funding Ratio of the joint-equity commercial banks is negatively correlated with the proportion of interbank liabilities,and significantly positively correlated with the proportion of interbank assets and the interbank interest rate,and is not significantly correlated with the investment asset structure and the maturity yield of the bonds.Results of the stress test show that when the three types of banks are significantly affected by the proportion of interbank assets,Net Stable Funding Ratio shows a relatively large decline.The largest five commercial banks in the case of pressure can maintain a good Net Stable Funding Ratio;but in the stress test,Net Stable Funding Ratio of the joint-equity commercial banks fell more than the largest five commercial banks and city commercial banks.This paper put forward four suggestions on the existing problems in liquidity risk management of commercial banks: first,to strengthen the management of interbank industry;second,to establish the indicators of liquidity risk monitoring in the interbank industry;third,to increase the stability of investment assets;fourth,to promote the establishment of bank stress test system.