Research On Systemic Risk Measurement And Regulation Of Banking System

As the most severe recessions since "the Great Depression", the financial crisis in 2008 has promoted the industry and regulation organizations began to reexamine the internal operation characteristics of the financial system, as well as the shortcomings of traditional regulatory approach. Although has been recognized before the crisis, but un-til costly, the "systemic risk" began to get widespread attention and discussion. Differ-ent from simple distinguished with individual risk, the definition, measurement and reg-ulatory policies have got a new development in post-crisis peoriod. "Macro-prudential regulation" policy have become common regulatory framework for each country’s post-crisis era. As the "systemically important" industry of financial system, the banking industry plays an important role in the development and contagion of financial crisis. Effective risk prevention measures from the full awareness of the risks, based on those backgrounds, this article put banking system as a starting point, combed the underlying mechanism theory of systemic risk, discussed the risk transmission channels of bank system, proposed viable Measurement framework from macro point of view, and dis-ccssed the development of regulatory policy.From different perspectives of different schools, the reasones of the formation of systemic risk are not the same. This paper combed the financial fragility school repre-sented by Hyman Minsky, monetarist school represented by Friedman, the asset price volatility theory and asymmetric information theory for systemic risk explanation. For the banking sector, systemic risk arising nothing more than the result of external factors and internal factors effect in practice. As for external factors, environmental changes in economic, political and even war, all can be the inducing factors of risk. From inside the banking sector, the operation and behavior of individual bank is closely related to systemic risk. As a financing intermediary, a notable feature of banks is the duration mismatch between liabilities and assets and the risk of high leverage. Moral hazard and distorted incentives under government bailout in disguise to encourage risk-taking behavior of banks in the premise of imperfact exit mechanism. Specially, China’s bank-ing industry, due to problems in the banking development strategy, market positioning, making the market segmentation between banks is not enough, resulting in a high de-gree of correlation between bank credit and the homogenization of the business model and risk exposure, undoubtedly left behind potential dangers for the outbreak of the bank systemic risk. Plus the pro-cyclical of regulatory rules and accounting standards, the risk prevention network has already revealed multiple weaknesses.Effective systemic risk prevention based on the awareness of the risk infection channel. Direct and indirect business linkages formed a complex interbank network. Any single bank crisis could through inter-bank lending, payment and settlement sys-tems, asset price volatility, information dissemination and other channels to trigger a series of chain reaction of banks, it also made the relevance between banks more compli-cated. So a comprehensive framework for the measurement of systemic risk is needed, it can not only take into account the risk exposure of banks, but also the "fat tail" feature of loss distribution in pressure period. Merton model-based contingent claims analysis associate extreme value theory, which measurement framework this dissertation pro-posed can be seen as a try resolution. From the regulators’perspective, the traditional microprudential supervision has been shown fail to prevent crisis effectively. More comprehensive macroprudential regulation need to be implemented from the systemic perspective.To another regulatory body of maintain financial stability and economic growth, monetary policy makers, as the banking prudential policy and monetary policy has different policy objectives, its hard to avoid two policies can appear sometimes com-plement each other sometimes in conflict situations. You need to achieve their goals through policy transmission on the basis of coordination. In addition, face the fact that systemic crises have erupted, to aid or not should be also a dilemma, how to avoid adverse incentives under moral hazard while effective rescue of banks, regulators also facing challenges. By increasing bailout costs, affect investment decisions in advance, or by reducing the asset-mismatch cost to make the collapse of troubled banks resolved through the market mechanism, offer a viable solution.Based on the above background and thinking, this article made system research on cause, contagion, measurement and regulation of systemic risk of banking industry, analyzed policy basis and optimal aid decision from the perspective of regulators, at the same time inadequate and the future continue study direction were also pointed out.