Study Of Bank Liquidity Risk Measurement And Management

The current financial crisis not only causes the decline of the world economicsand the turbulence of the financial system, also proves the excessive liquidity couldcause the huge harm for the economic development. This financial crisis whichevolved from the US sub-prime mortgage crisis has given new challenges to the bank'sliquidity risk measurement and management. The Basel Committee on BankingSupervision Pointed out that liquidity management is the most critical tasks in banking.A bank must maintain a certain degree of liquidity, otherwise will face the bankrupteven if with the solvency in capital.Since the full opening from 2007, China's banking industry has been incorporatedinto the global competition and rules and facing greater challenges, among which, theliquidity risk measurement and management is the most important aspects. The conceptof liquidity risk management strategies, methods, means and technical levels in Chinabanks are lagging behind others. A systematic research on the bank liquidity risk is justat the starting point. Therefore, a systematic summary of the international advancedliquidity risk measurement and management theory is of great theoretical and practicalsignificance to research on Chinese banking liquidity risk systemically and thoroughly.This paper systematically discusses the advanced theory and research of currentbanking liquidity risk measurement and management in the method of theoretical,empirical and cases study. Have conducted the research to China Bank's liquidity riskmeasure and the management, I put forward suggestions for improvement. The threeinnovation points in this paper are as follows:Using of detailed and accurate up-to-date data on China's bankscomprehensively on liquidity risk analysis and quantitative empirical research anddraw the convincing conclusions. Using a variety of indicators of liquidity, through thehistory of vertical and horizontal analysis of the indicators, this paper draws theconclusions of the certain extent excess liquidity in China. This article hasdifferentiated the macroscopic and the microscopic concept of Liquidity, in particular,pointed out: At present our country's excess liquidity is one kind of macroscopiccurrency phenomenon, which does not mean that there is no liquidity risk in banksmicroscopically. In this paper, a large amount of data in support of the argument that China's banks have a potential liquidity risk under the appearance of excess liquidity.From the dynamic point of view, these negative factors may induce the lack of liquidityeven the mobility crisis, which should be paid sufficient attention.Comparing the liquidity before and after the international financial crisis thispaper has found the rule of intrinsic changes in banks. At the same time, this article hasanalyzed the correlation of bank assets quality, profit ability and the bank liquidity riskand introduced the loan migration rate into the research.The paper carried out case studies of the stress tests on liquidity. y quotingthe stress tests implementation of the Bank of Shanghai, the paper analyzed and pointedout the imperfections in the risk identification, stress scenarios design, forecast periodand the use of models, furthermore, put forward recommendations for improvementfrom both the banks and the supervision organizations respects.