Measurement And Analysis Of Liquidity Risk On The Basis Of Commercial Bank

Finance is the core of a country’s economy, and a bank is the core of a country’s finance. Bank liquidity has been one of the important subjects that the experts and scholars have researched on the commercial banks, especially since the global financial crisis erupted in2008, bank liquidity’s role reached unprecedented heights. The newly revised Basel Ⅲ is a reasonable reflection. Bank liquidity means that a bank can get the cash required for operations at a reasonable price, is a measure of a bank logo, and the basis of a country’s economy. If there is liquidity risk, upstream will cause loss to the investors and creditors, and downstream will cause credit risk to the depositors. Liquidity risk can affect the whole financial system because of the domino effect of financial institute.In the part of theoretical analysis, the chapter introduced the liquidity conception, the related liquidity theory, some tactics of liquidity risk and stress test; in the part of empirical analysis, it includes the internal and external factors about bank liquidity and the measurement of liquidity risk.In the part of theoretical analysis, firstly, banks’liquidity management theory experience four stages:an asset management theory, a liability management theory, an asset and liability management theory and the balance sheet-sheet theory. Secondly, liquidity management theory’s tactics include the capital aggregation method, the allocation of funds, the linear programming method and the gap detection method:liquidity index method, indicator method and principal components analysis method. Thirdly, the chapter introduces three methods that measure bank liquidity. Finally, the stress test is emphasized in the chapter when a bank lies in the extreme situation.In the part of empirical analysis, the article empirically analyzes the internal and external factors of domestic banks on the basis of principal components analysis method. he article selects the detailed European BankScope database of26domestic banks from2000to2008database, and obtains six liquidity ratio through the bank database reduce the dimension of banks’ liquidity ratio on the basis of the principal component analysis can get composite score of a bank. In the Empirical analysis, the article consider s not only internal factors such as Loan Loss Res/Gross Loans, Equity/Tot Assets, Return On Avg and Total Capital, but also external factors such as economic growth, inflation, financial markets, monetary policy. In order to select the appropriate model from mixing model, fixed effects regression model and the random effects model,the likelihood ratio test and the Hausman test mean the use of individual fixed effects regression model. Finally, get the following conclusions by regression analysis:(1) the internal factors of the liquidity of commercial banks are more important than the external factors,(2) in the internal factors, capital quality and the average yield of capital have more significant impact,(3)the external factors are not so significant but money supply M1. Of course, the panel data analysis also has some limitations: the uncertainty of data collected by the bankscope database due to confidentiality of the bank data, it is also worth further exploration whether composite score measures the liquidity of the banks, and the simplification of the sample dataFinally, describe some problems and give some suggestions...