Study On The Liquidity Risk Management Of Deposit And Loan Maturity Mismatch In The Framework Of Basel Ⅲ

Due to the lack of liquidity, a large number of financial institutions had gone bankrupt in the2008International Financial Crisis. The two indexes LCR and NSFR aiming at supervising liquidity risk have been put forward in Basel III, to encourage banks to improve their financing structure and reduce the liquidity risk caused by maturity mismatch. In recent years, deposit and loan maturity mismatch in Chinese commercial banks has increased significantly, which would increase the liquidity risk. The majority of existing researches on the liquidity risk caused by maturity mismatch are from the qualitative analysis perspective, rarely devoted to quantitative measurement and influencing factors for liquidity risk caused by maturity mismatch. To fill the blank of qualitative analysis, this paper has studied the liquidity risk of deposit and loan maturity mismatch of commercial banks based on the framework of Basel III, providing a reference for better liquidity risk management.As mentioned in Basel Ⅲ, the risk of the entire banking industry can not be represented by the risk of an individual bank. Thus,15commercial banks in China, which can basically represent the entire banking industry, are chosen in this study. In order to measure liquidity risk of deposit and loan maturity mismatch, the liquidity gap index is improved based on the concept of NSFR in Basel III. Using HP-filter method, the short-term stable deposit is measured and concluded in the liquidity gap. Based on the improved index, this study measures the liquidity risk of deposit and loan maturity mismatch of the commercial banks during2004to2013. Furthermore, Panel data Model is used to analyze both the external and internal factors influencing the liquidity risk.The empirical results show that the degrees of deposit and loan maturity mismatch banks can tolerant are different, due to the differences between banks’ ability to gather savings, contain customer stickiness and their capital quality, etc. The liquidity risk of four major state-owned commercial banks is lower, despite of their higher degree of maturity mismatch. While other commercial banks experience the opposite situation. The factors influencing liquidity risk caused by maturity mismatch of commercial banks are also different. Internal factors such as the scale of assets and capital quality have more influence on the major four state-owned commercial banks, compared to the external factors. While for other commercial banks, external factors such as economic growth and development of the financial market are more significant. The influences of both internal factors and external factors on other commercial banks are greater. Finally, after the study of recognition, measurement and the factors influencing liquidity risk of deposit and loan maturity mismatch, this paper puts forward some counter measures for better managing the liquidity risk in the framework of Basel III.