Analysis of Liquidity Risk Management for Industrial and Commercial Bank of China, Based on Stress Testing (2017)
The dissertation aims to analyze the liquidity risk management of the industrial and commercial bank of china based on stress testing. Method: A semi-annual series data from 2007-2016 have been used to analyze the liquidity risk management of Industrial and Commercial Bank of China. The study has included econometric method to analyze the specific objective. Ordinary least squares were used to examine the influence of loan to deposit ratio on medium and long-term loans and deposit growth rate. Medium and long-term loans and deposit growth rate were the two risk factors, taken to analyze liquidity risk management.
The results obtained from the unit root test have indicated that deposit to growth ratio, medium and long-term loans, and deposit growth rate show stationarity at constant level and at 1st difference constant as the p value was less than 0.05. The results of unit root test rejected the null hypothesis and indicate that there is no unit root in all three variables.
Two relations were found statistically significant at intercept and no trend and one relation was found statistically significant at intercept and trend. Deposit growth rate was found statistically insignificant, but have positive impact on loan to deposit ratio. Probability value of F-statistics showed that all the independent variable significantly predicts dependent variable in the composite manner.
Liquidity risk management has become a serious concern in order to ensure safety and security for commercial banks. Liquidity risks have ascertained and aligned with the banks survival to destabilize its financial system. The study intends to examine the liquidity risk management for industrial and commercial bank of china on the basis of stress testing. The following objectives are devised to support the specific objective:
- To analyze the liquidity risks in industrial and commercial banks of China
- To analyze the effectiveness of risk management system for measuring liquidity risks
- To analyze the significance of stress testing for measuring the liquidity risks using semi-annual series
- 14,000 words – 58 pages in length
- Excellent use of literature
- Good analysis of subject area
- Well written throughout
- ideal for business and finance students
1 – Introduction
Background
Problem Statement
Aims and Objectives
Research Questions
Significance of the Study
Structure of the Dissertation
2 – Literature Review
Chinese Financial System
Liquidity Risk Management
Liquidity Risk and Interest Rate Liberalization
Liquidity Risk and Shadow Banking
Liquidity Risk and Capital Outflows
Four-State Owned Commercial Banks
Regulations on Liquidity Risk Management
Stress Testing
Chapter Summary
3 – Context
Chinese Commercial Banking System
The Bank of China
The Agricultural Bank of China
The China Construction Bank
The Industrial and Commercial Bank of China
Liquidity Risk in Chinese Commercial Banks
Stress Testing and Liquidity Risk
4 – Data Analysis Approach
5 – Methodology and Results
Discussion
6 – Conclusion and Recommendations
Conclusion
Recommendations
Future Research
References
