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Research of Large Commercial Bank’s Measurment of Liquidity Risk and Its Influencing Factors

Author: ChenBaiRu
Tutor: QianShuiTu
School: Zhejiang Technology and Business University
Course: Finance
Keywords: Large Commercial Banks Mature Mismatch The Measurement on Liquidity Influencing Factors
CLC: F832.33
Type: Master's thesis
Year: 2014
Downloads: 17
Quote: 0
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Abstract


The subprime mortgage of2008origined from subordinated bo nds would not only push the United States into a recession, and als o made mobility become a headache to those global commercial ba nks. A series of bank failures happened so frequent that global fina ncial market stuck into panic. In response to the financial market tu rmoil and economic recession, governments from many countries ha ve implemented varying degrees of fiscal stimulus including Chines e government. however, along with the "four trillion" fiscal stimulus, Chinese government implemented a more accommodative monetary policy and led to a crazy expansion of bank balance sheets. In fac t, data show that large amount of money flowed into the real estate, infrastructure and some state-owned enterprises in industries with e xcess industry, which undoubtedly arisen "maturity mismatch" proble m, worsen the balance sheet of large commercial banks and become a potential liquidity problems to the large commercial banks. As w e all known, commercial banks financed from high liquidity, low-co st debt and turned it into the high profits, lack-liquidity assets. Thu s, not only the large commercial banks create liquidity for the whol e community, and also face the liquidity shocks of the whole societ y. As one of the main risk for the large commercial bank, liquidity risk management is an essential and important job. Therefore, activ ely strengthening the liquidity risk management of state-owned com mercial bank has strategic significance.The paper briefly defined the concept of liquidity and the pathways. At the same time, we summed up the normally risk measurement theory of commercial banks, including staticly and dynamicly.At the same time, the paper also analysed several indications o f the five large commercial banks, including deposit-loan ratio, the long-term deposits ratio and so on. The results showed that the Ion g-term deposit was inclined to turn into the current deposit, and lo ng-term loans accounted for a large ratio which was not rational.This is empirical part, undertaking the above theory. We will q uantify the liquidity of large commercial banks and analyze the fact ors which influence the the liquidity of large commercial banks. Aft er introducing the traditional theory about liquidity measurement usi ng static indications and dynamic ways, this part will make three i ndications into an index score, by principal component analysis, to evaluate the liquidity level of five large commercial banks in the p ast ten years. As for the analysis of factors which influence the liq uidity of banks, we will use the gray relational analysis to study th e relation between the liquidity risk which stood by the index score we just computed and those factors.In the end of this article, I will combine Comparison of curren t situation、theoretical analysis、empirical research with my own ex perience of investigation to banks to propose some suggestion about how to strengthen liquidity risk management of large commercial banks from the macro and micro aspects.

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CLC: > Economic > Fiscal, monetary > Finance, banking > China's financial,banking > Financial organizations, banks > Commercial banks ( specialized banks )
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