The Study On Evaluation And Early-warning Of China Trust Company Risk

China trust companies have developed rapidly since 2007.By the end of 2016,the scale of trust assets managed by all of our 68 trust companies has reached 20.22 trillion Yuan,as the second largest financial sub-sectors behind banking industry.Trust industry is a high-risk industry.Business risk often occurs even in developed countries where trust business has rich experience in the development.With the changing domestic and international financial environment,financial innovation is increasing and financial mixed operation has become more evident.Our trust companies have faced complicated risks.Since 2011,the risk events in trust business are often exposed to publicly,which makes many investors worried.These risk events reflect the high risk of trust business and the inadequacy of trust company's risk management.As an important part of the financial system,trust companies have great impact on China economic security.Comprehensive and systematic risk early-warning can help the trust company take timely risk disposal measures and improve the initiative of risk control by monitoring the overall operation of the trust company,identifying the risk factors,evaluating the risk level and issuing early warning signals.However,compared with other financial institutions such as commercial banks,trust company risk early-warning is generally backward in theory and in practice.Therefore,it is of great theoretical and practical significance to study on China trust company risk early-warning.Based on the related theories of financial risk,risk assessment and early-warning,the dissertation systematically studies the types and characteristics of risk,risk evaluation and early warning of Chinese trust company after 2007.Firstly,the dissertation reviews the relevant theories and research literatures of the trust company risk.Then it introduces the background and motivation of the resumption of Chinese trust company in 1979,the evolution and development of the trust company functional positioning.It also analyzes the operation of the trust companies after 2007.After 2012,due to the changes in regulatory policy,market competition pressure has become increasingly prominent.The trust company has developed a new trend.At the same time,the risk has gradually exposed to the public.Therefore,it is of great theoretical and practical significance to study trust company risk.Secondly,the dissertation discusses the types and characteristics of trust companies risk.(1)It divides the types of trust companies risk from the three aspects of risk expression,factors and controllability.(2)It analyzes the risk characteristics of different types of trust businesses.The risk of single fund trust faces the operational risk.Set of funds trust faces credit risk,market risk and liquidity risk.Financing fund trust faces credit risk and liquidity risk.Investing fund trust faces market risk.Transaction management trust faces operational risk,legal and compliance risks.Property trust faces credit risk,policy risk,legal risk and valuation risk.(3)It analyzes the main risk points of the real estate trust business,the bank-trust cooperation business,the infrastructure trust business,the mineral trust business and the securities investment trust business.(4)It summarizes the characteristics and causes of recent trust risk events.Recent risk events are mainly concentrated in the financing trust products in the real estate,mining,industrial and commercial enterprises.They distribute in the three or four lines of cities,Shanxi and other regions.It is more in private enterprises.In addition to the poor management and the emergence of moral hazard of counterparties,the lack of risk control by trust company in the design,sales,management and clearing of trust product leads to the risk events.Thirdly,based on the general theory of financial risk formation,the dissertation analyzes the external and internal factors of the trust company risk.The external factors include:(1)economic cycle(2)economic policy(monetary,fiscal policy and industrial policy)(3)financial market price fluctuations(4)financial institutions risk transfer(5)trust industry competition.The internal factors include:(1)the level of corporate governance(2)the degree of internal control.On the basis of qualitative analysis,the dissertation chooses the sample data of 21 trust companies from 2007 to 2015,and examines the relationship between trust company risk and the macroeconomic operation,the stock market fluctuation,the concentration of the trust industry and the concentration of the trust company.Through the empirical analysis of the panel data regression,the following conclusions are obtained:(1)Macroeconomic operation has a significant impact on the trust company risk,and the macroeconomic downturn increases the trust company risk.(2)Stock market volatility will increase the trust company risk,but the impact is limited.(3)The trust industry concentration is significantly negatively correlated with the trust company risk.Reducing industry concentration will increase trust companies risk.(4)The relationship between the concentration of trust companies and trust company risk is not significant.Although the trust company's equity concentration is generally high,but it failed to prove that a highly centralized equity structure will increase trust company risk.Fourthly,in order to comprehensively evaluate all kinds of risks of trust companies,the dissertation builds risk evaluation index system of the trust company based on the risk characteristics and influencing factors of the trust companies,referring to the relevant contents of the CBRC "Trust Company Supervision Rating and Classification Regulation",the CBRC off-site supervision index,and the research results of domestic and foreign authoritative literatures.The trust company risk evaluation index system includes 13 secondary indicators and 53 third-level indicators.Fifthly,the dissertation constructs the trust company risk evaluation model according to the basic principle of fuzzy comprehensive evaluation,and evaluates the individual trust company risk and the whole risk of the trust industry.KL Trust Company is chosen as an example to illustrate the application of trust company risk evaluation model.Then,based on the data availability,39 representative trust companies were selected to analyze the risk status of trust industry from 2013 to 2015.The evaluation result shows that China trust companies generally bear the obvious risk pressure under the gradual change of regulatory policy and operating environment.The average risk score is basically stable,which shows that the risk of the trust industry is still in controllable.In addition,in the process of seeking transformation and development,the difference of risk controlability among China trust companies is gradually appearing.Sixth,the dissertation establishes a multi-class SVM China trust company risk early-warning model based on genetic algorithm and radial basis function.The training set classification accuracy and test classification accuracy of the model are 91.03%and 89.74%.It shows that the support vector machine model has obvious advantages.in solving the problem of the limitation of China trust company's risk samples.It also shows that it is feasible by using support vector machine method to establish the risk of China's trust company.early-warning model.The main innovations of the dissertation are as follows:(1)Most of the domestic researches use qualitative analysis method to analyze the risk factors of the trust company and focus on the analysis of the internal factors of the trust company.Based on the financial risk theory,the dissertation implement qualitative analysis and empirical analysis,which conducted a more systematic study on the trust company risk.(2)It builds the risk evaluation index system of the trust company combined with the qualitative and quantitative indicators,which make up the lack of domestic research.(3)It builds the risk evaluation model of the trust company based on the fuzzy comprehensive evaluation method.The risk of the single trust company and the trust industry in 2013-2015 are analyzed empirically.(4)It establishes the early-warning model of the trust company risk by using support vector machine(SVM)method.It is proved that the model has high early-warning accuracy.The shortcomings of the research are as follows:(1)Due to the limitation of data,it is not possible to analyze all the factors,especially difficult to quantitative factors.The time span of the panel data is between 2007 and 2015,which is short and may affect the measurement results to a certain extent.(2)The limited sample has a certain impact on the risk assessment and early warning quality.(3)Because of the limited data of trust company for the next few years,the effectiveness of the risk warning model cannot be tested,feedback and corrected.