Research On Liquidity Risk Management Of Commercial Banks In China Based On Stress Testing

In the context of the increasingly complex business environment of commercial banks,the liquidity shocks are more frequent,the importance of liquidity risk management can not be ignored.The “money shortage” event in 2013 showed that our commercial bank would also appear the liquidity shortage and face liquidity risk in the course of operation.Liquidity risk’s outbreak is sudden and contagious,it would cause a great impact on the banking system and even the entire financial market.Therefore,it is of great practical significance to enhance the research and management of liquidity risk.At present,the liquidity risk that our commercial banks facing is increasing as well as the difficulty of management,due to the slowdown in economic growth,the financial disintermediation and interest rate marketization.This paper analyzes the current liquidity risk and management problems of our commercial banks,then selects 6 large banks and 30 medium small banks as research object on the basis of status analysis,then tests the impact of risk factors on our commercial banks’ liquidity risk based on panel model.Based on the result of empirical analysis,this paper conducts stress testing to two types of commercial banks separately.Testing result shows that deposit growth,net interest margin,the interaction term of interbank liabilities ratio and Shibor can cause liquidity risk under severe pressure.In addition,medium small banks’ higher interbank debt has a more significant effect on the reduction of liquidity ratio and increases the difficulty of liquidity risk’s management.Through stress test we can know that although our banking wouldn’t appear the great liquidity crisis in general,commercial banks also need to strengthen management of liquidity risk under stress scenarios and focus of severe stress scenarios to prevent liquidity risk.Combined with the results of stress test and the problems existing in liquidity management of our commercial banks,the article proposes the suggestion so that can strengthen management of liquidity risk from the banks and regulators two angles.On one hand,commercial banks must strengthen the initiative of liquidity risk’s management and the awareness of risk prevention;Conducting stress test regularly and actively,strengthening the prediction and control of medium and long term risk;Broadening customer channels and increasing stable funding sources;Developing and innovating intermediate business,gradually reducing the dependence on traditional deposit and loan spreads income;Attaching great importance to the risk of inter-bank businesses,strengthen the management of maturity mismatch and control liquidity risk.On the other hand,regulators need to improve and strengthen the regulation of liquidity risk and the management system of stress testing.