Application Of Pressure Test In The Liquidity Risk Management In Commercial Banks Of China

In 2007 the subprime crisis caused a huge blow to American, only in 2009 there were 100 banks failed. Following succession there was the Greek debt crisis and the European debt crisis in 2010. For Chinese had joined the WTO, it had not survived in the financial crisis. Foreign trade enterprises in China’s Yangtze River Delta, Pearl River Delta area closed. A large number of migrant workers returned home. Economic growth was facing a severe test. So the financial good risk management is particularly important.The financial crisis is a once-in-a-century, although the frequency of occurrence is very low, but the influence is hardest. Event will give the liquidity of the bank with great pressure. Bank of the main function is to provide liquidity to the economy system, so the study of extreme events on the impact of commercial bank liquidity should be emphasized. Similar to the incident, the classical Var method on the market obviously can not accurately assess. Pressure test and extreme value theory as the supplement and perfect the theory of Var, are the two basic methods to measure the current similar crisis. The core idea of pressure test is simulated by building some of the extremes, the possible loss of size measure of portfolio in the extreme scenario occurs when. With the availability of data, this paper gives an assessment of the risk of China’s financial institutions based on the stress testing scenarios analysis.By reviewing the previous literature, we can found that the test pressure before 2010 takes the scenario analysis method to measure the risk. But in choosing factors often depend on the experience, ignoring the dependence among the factors, which will lead to the conclusion that the distortion. In this paper, we take the deposit loan ratio as the research object, selects the quarterly data from the June of 2009 years to the September of 2013 years, we construct method through principal component analysis. Finally, according to the historical extreme changes in the selected factors, we construct mild, moderate and severe kinds of stress. By testing the three scenarios, the results show that there is no greater risk in the liquidity of commercial banks of China.As a result of the stress tests started late in our country, there are many constraint factors of liquidity risk of commercial bank. At the same time, the domestic commercial banks are not regularly performing stress testing, which makes the commercial banks can not effectively track risks. This paper also puts forward some policy suggestions about the liquidity risk management of Chinese commercial bank.