Research On The Asymmetry Of Systemic Risk And Its Regulation For The Listed Banks Of China

Whether bank system is healthy and stable or not bears a direct relation with financial markets, even with the normal operation of the entire economic system. No matter what kind of crises they are,American economic crisis in 1929,subprime mortgages crisis directly caused by Lehman Brothers’ bankruptcy in 2008 or dozens of financial crises in different scales in the past few decades,all are the results of bank systematic risk constantly accumulating,rapidly contaminating and then intensively exploding. After subprime mortgages crisis in 2008,many studies on financial risks focuses on American financial market,especially the so-called shadow banking system,however,in China commercial bank system is placed at a core position. Chinese banking industry now enters a critical period on speeding up transformation development, with expediting interest rate liberalization and financial innovation,which all expedite deep development and structural transformation of bank system. Meanwhile systematic risks are continuously increasing due to various changes in bank system,such as complicated financial transaction,diversified counterparty,homogenized production,externalized credit business, upgrading relevance,etc. Only deep studies are made on bank systematic risks with comprehensive evaluation can coping strategies be found and effective supervision be carried out.The financial assets risk is usually caused by the fluctuation of assets prices, which is one of the most important contents of the modern financial theories. In addition, with the rapid development of financial markets,the correlation among financial assets becomes increasingly complex and irregular distribution occurs in asset return series. Thus the study on correlation among financial assets is of great significance to accurately manage risks. This paper emphasizes asymmetry of bank systematic risk and requirements for divergent supervision are raised accordingly. Several core questions are involved in this paper: symmetry or asymmetry of fluctuation,time-varying dynamic correlation order and direction,bank systematic risk state in different market and so on. Based on the classification of banks,this paper adopts GARCH model and its extending model to analyze fluctuation of bank return series and fluctuation overflow between any two banks in detail. Asymmetry study focuses on the following aspects: whether the impact of good and bad news in market is in accord with each other on the fluctuation range of return series,whether there is asymmetry in fluctuation overflow and correlation,how banks coefficient index varies when something is changed in market and so on. In the end, all asymmetrical elements will be taken into account to establish risk pre-warning index and makes an argument on divergent supervision based on empirical evidences of systematic risk features in Chinese banksThis paper mainly covers the following aspects: on the basis of quantitative analysis,considered various characteristics of 14 stock-listed commercial banks, the author classifies bank into two categories and sorts out the 14 banks analyzing fluctuating features of rate of return.Overall analysis and systematic study are carried out on fluctuating features of Chinese stock-listed commercial banks,including the study on fluctuation of the rate of return of an individual bank. GARCH model is applied to examine the fluctuating asymmetry and estimate direction and degree of fluctuating asymmetry with accurately description of specific features of the fluctuation;BEKK-GARCH model is applied to study the features of fluctuation overflow between any two banks like direction and size with asymmetry taken into account. The study on bank fluctuation can help us recognize fluctuation features of listed-stock commercial banks and their influence on banks,providing systematically quantitative methods to support bank risk supervision.DCC-GARCH model is adopted to examine asymmetry of dynamic correlativity between any two banks and establish timely risk pre-warning factors in financial system according to the correlation among banks. This paper finds that based on coefficient index of dynamic condition in listed-stock commercial banks,risks that probably occur in market could be precisely caught, which is important for guaranteeing Chinese financial system well operated. Typical correlation analysis is employed on the overall fluctuation between any two banks. Overall risk-linkage degree between any two banks can be found out in the empirical results which provide a brand new view for handling risk relations among banks.This paper introduces Markov regime switching to recognize and analyze periodical transformation and phase-transition of risk in Chinese stock market to ensure the time of duration and possibility of transition of our market condition and explore differences in risk-linkage degree among banks under different market circumstances by means of simply descriptive statistics on time-varying correlation of the fluctuation among banks. Meanwhile analysis is made on correlation among banks from the view of bank categories.The empirical results indicate that asymmetry lies in no matter individual bank`s fluctuation or banks` fluctuation overflow,that is,good and bad news in market have an inconsistent impact on return-rate fluctuation;based on return fluctuation features,asymmetry lies in correlations between banks under the circumstances that return rates of two banks go up and down simultaneously,under different kinds of banks and in different markets. A summary is made on the current development of Chinese commercial banks and the supervision whose function and effect are analyzed. And the author makes comments on approaches and rules of divergent supervision in our commercial banks. According to the result from these models,reasonable suggestions and reference are put forward in this paper to provide an academic support for financial system steadily operated.The innovation of this study is embodied in the following aspects: first, breakings through the traditional perspectives of previous research, asymmetric factors in systematic risk are effectively captured. The author takes into account all asymmetric factors that possibly exist during the process of studying the systematic risk in our listed-stock banks from the asymmetrical view. Thus the accuracy of establishing risk pre-warning index and supervisory requirement will be greatly advanced. Second, based on the study result of static fluctuation and correlation among banks,this paper uses coefficient index of time-varying condition to establish risk pre-warning index factor that is greatly complementary to current static index;Current research methods of volatility and correlation are mainly adopted on the correlated research among two or three markets. This research enlarges the number of listed-stock banks to 14. The result tends to be more objective than the past studies. Third, banks are classified based on various features of listed-stock banks and market data to further find out differences among banks. Based on the empirical results,this paper designs a framework of divergent supervision in Chinese commercial banks,which provides a reliable theoretical basis for divergent supervision in Chinese commercial banks. The conclusion of this paper is of greatly realistic significance to complete supervision system in Chinese commercial banks.