A Case Research On Liquidity Risks Of A Commercial Banks Based On 1104 Statements

Basel Accords,established by the Basel Committee,are a series of world-wide banking regulation standards on capital of major banks and their risks regulation.Basel Accords has built three main risk management systems by now,putting forward supervising standards for commercial banks from capital adequacy,risk-based surveillance and market discipline.Most domestic banks are focusing on risk quantification under the first risk management of Basel Accords now,by calculating and withdrawing risk-weighted assets for credit risks,market risks and operational risks of commercial banks,as well as making corresponding regulatory capital and economic capital planning.However,liquidity risks under the second risk management of Basel Accords are not included in the accrual of risk-weighted assets owing to no objective measurements and evaluation criteria.In recent years,China Banking and Insurance Regulatory Commission have attached more and more importance to the supervision of liquidity risks.Furthermore,China has also set up five liquidity regulatory indicators and nine liquidity monitoring indexes based on China's national conditions,and will explore unified measurements and evaluation criteria of liquidity risks step by step.1104 Statements,whose full name is Non-onsite regulatory statements of China Banking and Insurance Regulatory Commission,has become more integrated since it was first released in 2003.Nonetheless,due to the constant change of the financial market in China,and various regulatory measures been introduced,1104 Statements system has been making significant innovations these years.Measures for liquidity risk management of commercial banks issued by China Banking and Insurance Regulatory Commission in May,2018 stipulated nine procedures of the liquidity risk management.Among all procedures,liquidity risk identification,measurement and monitoring are the most important.There are seven statements used to measure and monitor liquidity risks in 1104 Statements.The five liquidity regulatory indicators and nine liquidity monitoring indexes set up by China Banking and Insurance Regulatory Commission can be accurately calculated through these seven statements.However,during actual supervision,if regulatory authorities or commercial banks analyze liquidity risks apart from the 1104 Statements,and only rely on those five liquidity regulatory indicators and nine liquidity monitoring indexes,conclusions may be quite different from the authentic result.Based on liquidity risk regulatory statements in 1104 Statements,I will select Commercial Bank A as a case research in this paper.By assuming that Commercial Bank A is under different kinds of liquidity stress,I will analyze the liquidity risks in Commercial Bank A.Throughout this paper,comparative analysis,case analysis method,method of stress testing and some current financial regulation theories are used to evaluate the supervision effect of 1104 Statements on Commercial Bank A.I will also bring forward some improvement projects according to liquidity risks in Commercial Bank A,and to provide other commercial banks with references on liquidity risk management.