Intraday Liquidity Risk Management Research Based On Basel Ⅲ

In recent years, due to the global financial market liquidity relativeabundance and lack of understanding of the seriousness of the liquidityrisk, liquidity risk supervision problem didn’t get the commercial Banksand regulators the attention it deserves. The2008financial crisis exposedthe national financial regulatory system’s shortage in systemic flow andrisk prevention, make people aware of liquidity is crucial important infinancial markets and banks’ stable operation, thus make direct drivingfor liquidity regulation reform. In Basel Ⅲ has been clear about theimportance of commercial bank’s overall liquidity risk managementframework, and for the first time put forward the global liquidityregulation new indicators (liquidity coverage ratio and net stable fundingratio). Liquidity coverage ratio is mainly from the perspective ofshort-term time measured by the agency’s ability to cope with liquidityrisk, to ensure that the institutions have enough resources to deal withshort-term liquidity risk, liquidity to be able to recover from a month-longpressure environment. Intraday liquidity risk management as a keyelement of the overall liquidity risk management, but didn’t get theattention it deserves and there are no standard monitoring for intradayliquidity risk.In this paper, first of all, introduces the implementation of Basel Ⅲliquidity risk management, gives the related concepts of intraday liquidity risk, and illustrate the necessity of intraday liquidity risk management, asthe financial system on the basis of the bank to take the market as thebasis and payment system from delay netting system to the transition ofthe full payment system in real time. Intraday liquidity risk managementhas particularity compared with other liquidity risk management, he isclosely related to the payments and settlement system in real time, has thecharacteristics of dual regulation and supervision of non-mandatory andreporting of openness. Under the Basel Ⅲ intraday liquidity riskmonitoring tool, and can be divided into three categories applicable:suitable for all the banks, provide agent service’s bank and directlyparticipants in the payments and settlement system. Introduces severalkinds of intraday liquidity stress scenarios. On the basis of this paperintroduces the present situation of China’s liquidity risk managementframework, and analyzes the necessity of our country to establish theintraday liquidity risk management (ILRM) system. The operationcondition of the payments and settlement system in China was introduced,use game theory to analyze the behavior of large real-time paymentsystem of participants in our country, discusses the adaptability ofintraday liquidity monitoring tools in our country, principles should befollowed and problems should be paid attention in perfecting China’sintraday liquidity risk management.