Measurement of liquidity risk of listed commercial banks

Abstract

Liquidity, profitability and safety are three principles of commercial bank's operation and management. With the bankruptcy of many financial institutions and the closure of commercial banks during the U.S. subprime mortgage crisis since 2007, liquidity risk has become the most fundamental and fatal risk. As Basel Committee issued Basel III in 2010 and China Banking Regulatory Commission issued The Management Measures on Commercial Bank Liquidity Risk in 2011, liquidity risk regulation of banking industry is strengthened. This paper uses 16 China's listed commercial banks as research objects and employs some indicators to measure the liquidity risk. The paper also studies the relationship between liquidity and profitability of commercial banks, and raises suggestions for strengthening liquidity risk management. © 2013 Springer-Verlag.