Research On Liquidity Risk Management Of China's Listed Banks Based On Stress Test

Based on the study of the theory of liquidity risk management and stress testing of commercial banks,this paper analyzes the liquidity and risk management status of China’s commercial banks and concludes that the structural imbalance between deposit and loan,excessive dependence on the interbank market and overdevelopment in off-balance sheet wealth management services can lead to the development of increased liquidity risk in commercial banks.Besides,the impetus and technical inadequacies of commercial bank internal risk management,and inadequate supervision of external regulatory agencies will all increase the difficulty of liquidity risk management.This paper selects the semi-annual data of the 16 listed commercial banks The liquidity ratio was used as the indicator of pressure,and stress test models of liquidity risk for state-owned large-scale commercial banks and small and medium-sized ones were constructed respectively.The models were then tested under the mild,moderate and severe stress scenarios.The test results showed that the overall liquidity of listed commercial banks in China is strong,but the liquidity ratio of a few banks such as Industrial and Commercial Bank of C hina(ICBC)in severe stress scenarios are lower than the 25% supervision level,which may cause a liquidity crisis.Finally,based on the previous studies,some measures are proposed for the liquidity risk management of commercial banks in China from the internal and external management levels.