| Through reasonable liquidity risk management method to maintain a moderate amount of liquidity and reduce the liquidity risk has been the target of commercial banks’ liquidity management.However,in recent years,the banking industry have liquidity risk problems continuously,which made strengthen the liquidity risk management become the focus of commercial banks.Therefore, measure commercial banks’ liquidity risk accurately has important significance to the development of banking industry.Because there was no research use CFaR to measure commercial banks’ liquidity risk till the present moment interiorly and cash flow is important for commercial banks’ liquidity. This paper use CFaR to measure and research commercial banks’ liquidity risk.In Section one,this paper introduces the background and meaning of the research,states the main points and method of this research.In Section two,this paper make comments of some research about genetic mechanism, influence factors,measurement method and management method from domestic and foreign. Section three combs the definition of liquidity, liquidity risk, commercial bank liquidity risk management related theory. In section four,choose variates and data base on the actual situation of our country,set up CFaR model,measure the risk of commercial banks’ liquidity.Through analyze,this article has these conclusion:(1)cash flow is important for commercial bank liquidity risk management and measurement.(2)the facts’effect to different bank is different because of background、 size and feature of banks.(3)the banks in our country have high liquidity risk.In section five,based on the empirical analysis,put forward the corresponding countermeasures suggestions of our country commercial bank liquidity management.The innovation of this paper are as follo wing:First,use influence factors of banks’ cash flow to set up panel data model,finding some conclusion.Second,introduce CFaR into the measure of domestic banks’ liquidity risk,using Monte Carlo simulation measure domestic banks’ liquidity risk. |
