Research On Liquidity Risk Measurement And Control Of Commercial Banks

The measurement and management of liquidity risk has always been one of theimportant and difficult problems in the research field of commercial banks. After thefinancial crisis, the nations of the world are particularly concerned about the liquidityrisk of commercial banks."Basel III" introduced liquidity coverage r ate and net stablefunding ratio t in January2013, and set the standards of regulatory no less than100%.At present, with the reform of the domestic interest rate liberalization progressedsteadily, the commercial banks of our country enter a new stage o f development, andface the unprecedented challenge and competition."Money shortage" crisis in Juneand December of2013proved this point. In this context, it is of great theoretical andpractical significance to study the measurement and management of C hinesecommercial Bank’s liquidity risk.Firstly, this paper reviewed and commented the connotation, influencing factors,measurement methods and the supervision of liquidity risk. And this paper define dand classified liquidity risk, analyzed the causes. Secondly, this paper used themethod of principal component analysis to measure and analyse liquidity risk of14Chinese commercial Banks from2008to2013.Thirdly, this paper built capital inflowmodel of the commercial banks by selecting the total deposi ts as the dependentvariable, deposit interest rates, GDP, interbank interest rate as independent variables.And it constructed capital outflow model of the commercial banks by selecting theloans as the dependent variable, the loan interest rate, GDP, the deposit reserve ratioas the dependent variables.Then this paper did empirical analysis with quarterly dataabout the bank of china from2008to2013. As the same time, it structured thresholdinterval of loan to deposit ratio to measure liquidity risk. The results showed that theloan to deposit ratio interval without the liquidity risk is (0.643,0.753). Finally, ba sedon the above results, this paper summarized the problems of commercial banksliquidity risk management in China, then put forward some pertinent suggestions tostrengthen the control and management of commercial bank liquidity risk.