Evaluation And Prevention Of Systemic Financial Risk In Chinese Commercial Banks

At present,China's macro economy and financial system risk at the same time in a continuous accumulation stage,the state council premier 1i keqiang,in 2017 the government work report "financial risk",points out that the current overall'control systemic risk,but the bad assets,debt default,accumulation of shadow Banks,such as the Internet financial risk on high alert.Risk of non-performing assets,apparently,is the biggest risk to commercial Banks,at the same time,the shadow Banks and commercial Banks liquidity risk and its main source of financial risk,and the shadow banking highly securitization,derivatives of different business models,China's shadow banking dominated by Banks,capital mainly comes from bank off-balance-sheet financing product(trade)and bank debt,main is to appoint off-balance-sheet assets such as external investment business,so,at present,the main source of systemic risk of the commercial bank of China non-performing assets and off-balance sheet business and trade business risk.Systemic financial risks are increasingly prominent in China,and the systemic risk of financial system mainly comes from the systemic financial risk of commercial Banks.Therefore,this study takes the systemic financial risk of commercial Banks as the research object,which has great practical significance.This paper takes the systematic financial risk of commercial banks as the research object,and uses the combination of normative analysis and empirical analysis to select the main sources of systemic risks of commercial banks in China:non-performing assets risk,off-balance sheet business risk and inter-bank business risk.The three major categories of major assets and liabilities business risks,theoretically analyze the mechanism of these risks,and evaluate the three types of business financial risks separately,and then evaluate the systemic financial risks faced by commercial banks as a whole,and finally put forward targeted Policy recommendations to prevent systemic financial risks in commercial banks.The second part of the thesis reviews the financial risk theory and the financial risk theory of commercial banks on the basis of combing the existing literature at home and abroad.Including the concept of systemic financial risk,systematic financial risk assessment methods and empirical research,the causes of systemic financial risks;the causes of liquidity financial risks,the evolution of financial risk management theory of commercial banks and the financial risk assessment methods of commercial banks;It mainly analyzes the characteristics and production mechanism of systemic financial risks of commercial banks in China.Including the characteristics and production mechanism of non-performing assets risk of China's commercial banks,the characteristics and mechanism of the risk of off-balance-sheet business and inter-bank business of China's commercial banks.The fourth part mainly evaluates the systematic financial risk of China's commercial banks from an empirical perspective.Firstly,based on the analysis of the status quo,development trend and regional distribution characteristics of non-performing assets risk of commercial banks in China,we choose to use the big data analysis and forecasting framework Prophet to predict the development trend of non-performing loan growth rate of commercial banks in China.Next,based on the description of the current development of the business,the data samples from January 2006 to December 2017 were selected.The financial stability index was calculated and the VAR model was used to prove that the scale of the off-balance-sheet business and inter-bank business of commercial banks was expanded.Stability has a short-term positive effect.In the short term,scale expansion can promote the stable development of finance to a certain extent,but in a longer period of time,the stability of scale expansion finance has an adverse impact.The fifth part empirically analyzes the systemic financial risk spillover effect of commercial banks in China.Based on the daily closing price of the stock market of China's 15 commercial banks from January 4,2007 to November 10,2016,a quantile regression model of risk spillover effects was constructed to calculate and compare 15 commercial banks.VaR and CoVaR values are found:China's commercial banks will experience systemic risk spillovers when they are hit by the crisis;CoVAR is a more effective risk measurement method than VaR;in terms of controlling systemic risks,China's four major state-owned businesses Banks are stronger than joint-stock commercial banks.Finally,the paper proposes corresponding systemic financial risk prevention measures.Generally speaking,it is necessary to promote the effective co-ordination of monetary policy,macro-prudential and micro-regulation;to explore new and effective non-performing asset disposal methods to reduce systemic financial risks;to propose measures to prevent the risk of off-balance-sheet business of commercial banks in China;Interbank business risk measures.This article innovation mainly embodied in the following four aspects:first,from the actual risk of commercial banks in China(bad assets risk,off-balance-sheet risk and trade business risk)perspective,to explore the causes of systemic financial risk in our country and the transmission mechanism,the research methods of systemic financial risk and theoretical innovation;In constructing risk spillover effects of quantile regression model,on the basis of the calculation and comparison of the our country commercial bank VaR,Co VaR value,measured under the new situation of our country commercial bank systemic risk spillover effects,proved that our country commercial bank will happen once the crisis-hit systemic risk spillover,which provide data support for risk prevention;The big data analysis forecasting framework Prophet predicted the development trend of the growth rate of non-performing loans of commercial Banks in China,by using face book general time series model of open source:big data analysis forecasting framework Prophet to apply to our country commercial bank bad assets time series data,the dependent variable covers the growth,cycle and elastic holiday a variety of factors,the risk of time series prediction problem into a curve fitting process,to improve the reliability of the predicted results;By using VAR model,this paper empirically analyzes and finds out the impact degree and duration span of the scale change of off-balance sheet and inter-bank business on financial stability index ofChinese commercial Banks,so as to provide empirical basis for the formulation of regulatory policies.