Research On The Liquidity Risk Of Commercial Banks Based On Stress Testing

The assets safety, liquidity and profitability are the three management principles for commercial banks, among which the liquidity risk management could be regarded as a critical capability of vital importance of commercial banks. The bankruptcies of banks took place successively during the subprime crisis in 2008 has warned us that the short in liquidity will not bring much impact on commercial banks under the normal condition of financial and capital markets, however, the liquidity crisis may be caused on some extreme circumstances and possibly become the key risk for bankruptcies of banks. So far, the liquidity risk management of the Chinese commercial banks is still immature; most of the banks just make simple analysis according to the liquidity risk indicator announced by the China Banking Regulatory Commission (CBRC), and ignore the liquidity crisis management under special circumstances. To realize the steady development of the Chinese financial industry, it is important to enhance the discussion and research on the liquidity risk management and find out methods for liquidity risk management with the Chinese characteristics, so as to adapt to the constantly changing international economic situation and eliminate the worries for the sustainable development of the Chinese financial industry.On the basis of liquidity risk management theory of domestic and foreign commercial banks, this paper innovatively introduces the concept of stress testing, a newly emerged risk management technique, as the emphasized point of the research. Firstly, it makes an all-round analysis of the current situation of the liquidity management of Chinese commercial banks from both macro-economic and micro-economic aspects, and then analyzes the two liquidity risk evaluation indicators including the excess reserve ratio and loan-to-deposit ratio according to detailed statistics, and finally summarizes the potential liquidity risks of commercial banks. Secondly, it focuses on the influential factors related to liquidity risks of commercial banks and makes analysis thereof from both internal and external aspects, and picks out 10 representative factors accordingly. By analyzing the collected data of commercial banks and macro-economy through the gray relevance method, this paper also makes the relevance ranking of these influential factors. And on the basis of this, it selects 5 important variables to make the multiply regression analysis of three kinds of banks separately including the state-owned holding banks, national joint-stock commercial banks, and urban and rural banks. Finally, it makes the stress testing of some commercial banks on the base of risk evaluation model and draws the conclusion, and puts forward some suggestions for the liquidity risk management of the Chinese commercial banks accordingly.