Research On Liquidity Risk Of Off Balance Sheet Business Of China's Commercial Banks

The off-balance sheet business has been in commercial banks for the first time in a hundred years.By the 1980 s,with the integration of financial markets and the acceleration of securitization,innovative financial products in the international financial market continued to be introduced.The traditional interest income business accounted for the proportion of bank assets continued to shrink,the profitability of declining,the world's commercial banks off-balance sheet business has developed rapidly.In the meantime,as the off-balance-sheet business was away from the regulator's attention,the development of such risks would lead to successive occurrences of the related risk cases and the risk scale will continue to expand.As a result,follow-up regulators and investors are placing more emphasis on the disclosure of off-balance-sheet business.Commercial banks in our country started their off-balance-sheet business for a short time and did not really become commercial banks until after the reform and opening up.As the degree of financial marketization continues to deepen,the market share of commercial banks is constantly being plundered by other non-bank financial institutions,accelerating the expansion of off-balance sheet businesses as the inevitable choice for commercial banks in China.After 40 years of development,it has gradually narrowed the gap between the business operations of off-balance sheets of commercial banks in western countries and achieved rapid development.The need for off-balance-sheet operations is beyond doubt,but the risks of off-balance-sheet operations are equally worthy of attention.Commercial banks are paying more attention to liquidity risk after the financial crisis.Basel III proposed two liquidity risk indicators of liquidity coverage ratio(LCR)and net stable funding ratio(NSFR)as well.In addition,credit risk as the most fundamental commercial bank,the most affected,covering the most extensive risk,also need attention.And credit risk is also the largest exposure to the risk of off-balance-sheet operations.In addition,some studies have found that commercial bank credit risk can affect its liquidity risk and internal risk transfer.Therefore,it is also very important to study the effect of creditrisk on off-balance-sheet operations on bank liquidity risk.Whether there is liquidity risk in the off-balance-sheet business,which liquidity risk is exposed in the off-balance-sheet business,and whether the off-balance sheet business affects the liquidity risk through credit risk are all worth discussing.In this paper,we verify the above problems through theoretical research and empirical analysis.Based on the micro-data of 16 listed banks from 2009 to 2016,the paper examines the relationship between off-balance-sheet business and the liquidity risk of commercial banks.The off-balance sheet business is divided into financial derivatives,banks Acceptances,bank guarantees,letters of credit,loan commitments and entrusted loans six.The study shows that there is a direct and indirect relationship between off-balance-sheet business and liquidity risk.Financial derivatives,bank acceptance bills,loan commitments and entrusted loans are significantly and positively correlated with liquidity risk.Bank guarantee and liquidity risk are significantly and negatively correlated,Letter of credit the result is not significant.This shows that there is liquidity risk exposure in the off-balance sheet business without information disclosure.Finally,it is suggested that commercial banks themselves should supervise and prevent off-balance-sheet operations and prevent the emergence of credit risks and deal with them promptly afterwards.Meanwhile,it is suggested that government regulatory agencies should improve the construction of social credit enhancement system and require commercial banks to improve their standards of transparency and business access.