Abstract
Basel Committee on Banking Supervision (BCBS) issued Basel III Accord in 2010. The Committee has developed two minimum liquidity standards, which are Liquidity Coverage Ratio (LCR) and Net Stable Funding Ratio (NSFR). Based on the Basel III framework for liquidity risk measurement. In this paper, we attempt to get the two liquidity standards for 6 biggest banks in China via public information, and macroeconomic data. Though the Basel III Accord has implemented the so-called micro-prudential regulation to measure liquidity risk for every individual bank, it neglects the macro-prudential measures. Hence, we make references to Chung (2011) attempting to build up a systemic risk model with credit risk, interbank contagion risk and liquidity risk involved altogether. By modifying several parameters, we make the scenario analysis of multi-risk losses for 6 Chinese banks. The empirical assessment shows that while the LCRs and NSFRs meet the supervisory requirements, or higher than 100%, for the 6 sample banks, they differ a lot with each other. With the increasing of the LCR and NSFR threshold as well as the withdraw ratio in the scenario analysis, the number of the bankruptcy is increasing, and the total loss is increasing, too, while the LCR and NSFR is decreasing. The supervisions should come up with the measures to help the banks survive under the stress events such as 2008 financial crisis.