Liquidity Risk Stress Test Of Shanghai Pudong Development Bank Based On SVAR Model

In 2007,a severe subprime mortgage crisis broke out in the United States and spread to the whole world,finally forming a financial crisis.In June 2013 and December 2016,China's banking industry experienced two "money shortage" events,which led to the illiquidity risk of many commercial Banks.Both the "money shortage" incident and the subprime crisis reflect the existence of liquidity risks accumulated due to liquidity problems.In recent years,with the changes in the operating environment,business model and capital source of the banking industry,some commercial Banks in China have encountered such problems as the decline of capital source stability,the decrease of asset liquidity,and the increase of maturity mismatch between assets and liabilities.As a result,liquidity risk management and supervision are facing increasing pressure.Once the liquidity risk occurs,it will not only do great harm to the bank itself,but also may have a chain reaction to the whole banking industry and even the financial market.Therefore,it is necessary to recognize the threat of liquidity risk to the bank.The role of the stress test is to analyze the bank's tolerance under extreme circumstances,so as to timely find the potential risks of the bank and improve the corresponding management measures to prevent the occurrence of risks.Therefore,the stress test of liquidity risk plays a significant role in early detection of liquidity risk by Banks.In addition,the bank's risk control and management as well as the bank supervision department's regulation all need the bank to conduct the perfect liquidity risk stress testIn Shanghai pudong development bank,for example,this paper takes the liquidity ratio and the loan-to-deposit ratio as the representative indicators of the liquidity risk of SPD bank based on the relevant quarterly data from 2001 to 2018,and selects 5 influencing factors from both internal and external aspects as the measurement indicators.First of all,in accordance with the regulatory requirements affecting Shanghai pudong development bank liquidity indicators of risk factors,and on the basis of pressure conduction model is constructed,at the same time,considering the relationship between the dependent variable to build the SVAR model,and forecast factors,according to the results of the estimation based on the monte carlo method simulation stress testing different degrees of impact future generations into the pressure conduction model to conduct stress tests in the result of analysis.The test results show that: the liquidity ratio is lower than the minimum regulatory standard of 25% when the two external factors,industrial value added and broad money amount,have a severe impact at the same time,and higher than 25% in other scenarios.The loan-to-deposit ratio is lower than 75% under any degree of scenario impact,with a small range of change,and the overall trend is stable.Therefore,through the results of the liquidity risk stress test,it can be seen that SPD bank as a whole will not have a major economic crisis at present,but it still needs to strengthen the management of liquidity risk and improve the relevant measures to prevent the liquidity risk that may occur under the extreme situation of severe impact.Finally,based on the results of SPDB's liquidity risk stress test,the paper puts forward some Suggestions on liquidity risk management.