Liquidity risk is a basic risk for commercial banks. Stress testing is a quantitative analysis method against tail risks. Basel Committee considers that it is an important tool to identify measure and control liquidity risks. And the subprime mortgage crisis has illustrated the importance of stress testing. This paper used the Basel Committees “liquidity coverage ratio (LCR)” index calculation methods as a reference, and based on the Basel Committee defined seven standard liquidity shock as scenario assumptions, and established a cash flow gap analysis model for model construction to forecast liquidity risks. And then take Nanjing Bank of China for example, according to the stress testing results, analyzed the structure of asset and liability. Finally, puts forward some related proposals and predicts the future research focus.