A Study On Default Risk Of M Commercial Bank Based On Liquidity Risk And Credit Risk

The global financial crisis in 2008 exposed that "Basel agreement" for modern banking supervision system of core framework for understanding and attention to commercial bank liquidity risk and credit risk is obviously insufficient, global regulators and commercial banks began to re evaluate the risk management problem of bank. The banking industry is an important part of modern economic development, it is because the system is not perfect and easy to suffer from external shocks, in the background of the global economic level continuously improve, how to ensure the stable development of the banking industry, has become an important topic of the global common face. Commercial banks in the development process, risk control is very important, but in the management of risk, the liquidity risk and credit risk is very destructive and uncertainty is very high, on the commercial bank default risk has the effect of play a decisive role, therefore, through the study of liquidity risk and the credit risk on bank default risk effects, to achieve the purpose of default risk control of commercial banks.Domestic and foreign scholars have started to pay attention to the impact of liquidity risk and credit risk of commercial banks to the risk of default, and make a simple study of the relationship between them, the results show that the liquidity risk and credit risk in a certain extent does influence the commercial bank’s default risk, but most are based on liquidity risk and credit the measure of risk on the basis of, and not the liquidity risk and credit risk through in-depth analysis of the data on the effects of default risk, based on this, through the method of analysis of banking industry and the combination of case study of M commercial bank, respectively to study the effect of liquidity risk and credit risk of bank default probability, at the same time, further analysis, research on the joint effect of the liquidity risk and credit risk, default risk change of M commercial bank.In this paper, by constructing the regression model, to analyze the effect of M commercial bank where the banking liquidity risk and credit risk of default risk. The results showed that, the higher the risk of liquidity, commercial bank default risk is higher, the higher credit risk, commercial bank default risk is higher; a common role in the liquidity risk and credit risk of commercial banks, changes in default risk inverted U curve distribution, which made the theory upholstery for this case study, on the base of empirical research, makes research on the liquidity risk and credit risk of M commercial bank default risk management based on case analysis, the data of M commercial bank for 7 years, due to the common effect of liquidity risk and credit risk, making the risk of default has an inverted U curve distribution, therefore, through case study, find the lowest M commercial bank default risk (highest Z-score), in order to analysis when the M commercial bank minimal default risk, liquidity risk and credit risk size. Based on the above study, analysis of the causes of M commercial bank default causes excessive risk, through the rational control of liquidity risk and credit risk, thereby reducing the risk of default of the bank, and the management of M commercial banks in the future, put forward effective policy recommendations, to reach the best level of bank risk control.