Measurement And Research On The Factors Affecting Liquidity Risk Of Commercial Banks Under Basel Ⅲ

As the representative of the international financial regulatory body,the Basel Committee monitors the liquidity of commercial banks worldwide.The financial crisis of 2008 has had a tremendous impact on the financial system and the real economy of western countries,the most significant of which was the United States.This phenomenon will be even more complicated in the future when financial technology is constantly developing and improving.If one of these things goes wrong,it can have serious consequences for the entire financial market.In Basel Ⅲ,BCBS added liquidity coverage ratio(LCR)and net stable capital ratio(NSFR)and core metrics as criteria for monitoring bank liquidity.In 2018,the CBRC issued the Measures on Liquidity Risk Management for Commercial Banks,formally incorporating NSFR into our banking regulatory system as a long-term indicator of liquidity.China’s financial markets are facing intense competition and opportunities in the context of globalization,and the sudden impact of the new coronavirus pandemic on the global economy since 2019.The new coronavirus outbreak could affect loan quality by increasing the non-performing loan ratio.It could also reduce the profitability of the banking sector,which could have a negative impact on liquidity of commercial banks.In the new situation,paying close attention to the effectiveness of the new regulatory indicators and promoting the organic integration of Basel Ⅲ with China’s financial regulatory system will play an important role in the reform of the financial regulatory system and the improvement of bank risk management.By consulting the relevant information,the contents of Basel Ⅲ on liquidity risk,new indicators,changes of the new system,etc.,are organized and elaborated,and the main features of the new system are briefly described.Then,the old indicators such as liquidity ratio,deposit to loan ratio,asset-liability ratio,non-performing loan ratio and capital adequacy ratio were determined by principal component analysis,and the comprehensive scores of liquidity risk of each bank were obtained from several angles.Then the two new indicators and the comprehensive liquidity index obtained in the previous part of basel iii are analyzed quantitatively with macroscopic and microinfluential factors,so as to sift through the factors that have the greatest influence on liquidity risk,and put forward targeted suggestions for the prevention and control of liquidity risk in our banking sector.