Chinese Commercial Banks' Liquidity Stress Testing And Exploration

The liquidity risk of commercial banks is comprehensive risk. A lot of basal risk (such as credit risk, market risk, operation risk by transmitting in monetary market and financial market) of commercial bank will lead to liquidity risk. In the effect of economic cycle, the liquidity risk which increases the economic fluctuating by commercial bank lever will ultimate generate depression and economic crisis. In 2008 the United States at the outbreak of the credit crisis which gradually turned into a worldwide financial crisis, commercial banks encountered a huge impact. Recently, our county has also been affected by the crisis in the process of globalization. Therefore , how to guard against liquidity risks of commercial banks is a subject of special attention for a financial regulatory authorities.Following the Basel Capital Accord (II) framework , this paper try to measure the liquidity risk of commercial banks and improve the measured method of liquidity risk , so as to avoid large-scale extreme scenarios of liquidity risk. The stress test of liquidity risk has huge significance .The test will help financial regulatory authorities recognize the problem of commercial banks; enhance the effect of macro-regulation and monetary policy and supply the operated criterion of risk management. Thus, the systems of stress test of liquility risk enhance the lever of management of liquidity risk for commercial banks in China and have realistic guidance in against system of financial risk. Such as Bank of America in the stress-testing showed that bank of America need a total of 75 billion U.S. dollars by the mobility gap in the May 7, 2009.Empirical studies shown that even on the direct impact of China's virtual economy, facing with the impact of fluctuations in international markets, the real economy from financial institutions will fall down under the influence of the impact. The main part of the article has been carried out avoiding from the impact of external factors, conditions, expiration of the period to predict the future situation of the mobility; At the same time, we try to analysis of interest rates, exchange rates and the reserve ratio to predict the future of commercial bank liquidity gap under the extreme conditions in the impact model. In the market conditions, studies have shown that large fluctuations, in particular in the reserve ratio and exchange rate changes, can be enormous on commercial bank liquidity risk. It shows that China's commercial banks need to establish and improve the mobility of the pressure in the testing system, and learned the lessons from the U.S. sub-loan crisis.Through studies from the domestic commercial banks and the foreign empirical, we draw on the main conclusions of this paper are: At first, banks characterized by"short-long loan-deposit"period are the causes of the liquidity risk. Second, the impact of external market volatility is caused by the external liquidity risk, such as real estate prices generate liquidity risk due to not pay back commercial banks'loan. Third, factors (in the reserve ratio, the exchange rate, interest) for the impact of dynamic pressure test condition, the study shows that the reserve ratio for commercial banks is the largest impact of the mobility, followed by the impact of interest rates, and the exchange rate depends on the impact of foreign exchange business proportion of cases. Fourth, empirical studies found that the actual flow test results of the gap with a certain degree of deviation between the reasons is due to our country's interest rates, exchange rates and other factors, and because of the impact of changes in the monetary authorities to a large extent. Therefore, the liquidity of commercial banks to estimate not only need the stress tests, but also need for experienced technical staff to assess the subjective standard.