Measurement And Prevention Of Systemic Risk In Chinese Banking Industry

As a key part of China's financial system,banking financial institutions are safe and stable operation of China's financial crisis to achieve a stable and healthy development of the national economy an important guarantee.In recent years,the scale of China's banking sector continued to grow,the quality of loans remained stable,all indicators met the regulatory requirements,and the overall ability to resist risks was raised.However,under the background that China's economy has stepped into a "new normal",the hidden dangers of running the business in the traditional banking industry still face many challenges in its survival and development.First,most banks have a single asset and liability structure,which is mainly concentrated in the traditional deposit and loan business.With the interest rate liberalization,the reduction in interest-bearing deposits and loans has narrowed the profit margin.Second,the growth rate of GDP has slowed down.Many small and medium-sized enterprises Thirdly,the rapid growth of off-balance sheet business and interbank business has increased financial leverage,resulting in an increased degree of association among financial institutions and an increase in the overall risk level of the banking industry.The increase in its non-performing loan ratio Fourth,financial products and other financial innovation business to extend the funding chain,and the long capital chain will reduce the capital from the financial system to the real economy turnover efficiency is not conducive to the real economy,which in turn will have a negative impact on the financial system,Increase the banking system's systemic risk.According to the International Monetary Fund-the Financial Stability Board and the European Central Bank,systemic risk is a risk to financial stability that threatens most of the functioning of the financial system and creates a significant Negative impact.From this definition,we can see that systematic risk is not equivalent to "systematic risk" or "market risk" and does not belong to the category of "uncertainty";its essence is "financial crisis" or "collapse of financial markets".Therefore,to prevent the systemic risk of the banking industry is to avoid the banking crisis.Although China has so far not erupted banking systemic risks,the imbalances and instabilities in the banking industry have always existed.The "money shortage" incident in June 2013 is the best proof.In early 2017,the CBRC proposed that banking development should "make progress while maintaining stability" and stick to the bottom line of not having systemic risk.In view of this,the study of the sources and influencing factors of the systemic risk in the banking industry in our country and the establishment of the corresponding measurement and early warning mechanism of systemic risk not only have very important academic value but also have urgent practical significance.The theme of this paper is the measurement and prevention of systematic risk in China's banking sector.It mainly includes three parts: First,introduce the definition and nature of systemic risk,analyze its causes and mechanism;second,construct the banking industry Systematic risk measurement model and discuss its influencing factors;Third,from a macroprudential perspective,combined with the actual situation of China's banking sector to provide systematic supervision of systemic risk policy recommendations.In particular,systematic risk is a contagious,dangerous,complex and global risk from a macro perspective.Infectious and global is the most essential feature of systematic risk that is different from micro-risk.To study systemic risk,we should pay attention to two dimensions of systematic risk,that is,time dimension and cross-sectional dimension.The time dimension of systemic risk refers to the increase of the vulnerability of financial system.The systematic risk accumulates from it systematically,corresponding to systemic risk The cross-sectional dimension is the negative externality of the spillover contagion,which promotes the systematic risk and corresponds to the mechanism of systemic risk.Time dimension and cross-sectional dimension are complementary and inseparable.Financial fragility is the foundation and condition of risk contagion.Risk contagion is the external manifestation of financial fragility.The level of contagion reflects the degree of financial imbalance.To guard against systemic risks,in addition to identifying the nature of systemic risks,it is also an indispensable measure to accurately measure systemic risk levels.Based on the previous studies,this paper points out that to measure the systemic risk we must fully consider the two dimensions of time and cross-section,and sum up their connection.Thus,we construct cross-sectional and time-dimensional models to quantify the systemic risk in the banking industry.In the cross-sectional dimension,this paper first introduced the Copula function to study the systematic risk in the banking industry and calculated the systematic risk contribution of 16 commercial banks in China from January 2011 to September 2016 by constructing a time-varying Copula-?CoVaR model Infection),but also using panel regression analysis of its influencing factors.The results show that under the horizontal comparison,the systematic risk contribution of state-owned commercial banks is higher than that of joint-stock banks and city commercial banks,and the average contribution of ICBC is the highest.Under the vertical extension,the systematic risk contribution of ICBC can better characterize the banking industry Systematic risk changes,the index is very sensitive to major negative financial events,be able to release early warning signals on major negative financial events 3-6 months in advance.In terms of influencing factors,the influence of bank relevancy,leverage ratio and non-performing loan ratio on systematic risk contribution is significant.The robustness of Copula's result is confirmed by comparison with quantile regression and multivariate GARCH model.In the time dimension,this paper uses the comprehensive index method to measure the systemic risk in China's banking industry.Different from the previous researches,this paper considers the two aspects of the stability of the banking system and the contagion of systematic risk,and integrates infectious indices such as ?CoVaR and SRISK into the calculation of financial stress index.The commonly used principal component analysis method is also improved,and the basic indicators are selected based on the correlation analysis and the contribution of the principal components to synthesize the FSI of China's banking industry.Using the FSI index to describe the changes in systemic risk or stress level in China's banking sector from January 2007 to December 2016.The results show that the trend of FSI is in line with the risk profile of China's banking industry and significantly increased during the negative events of "the sub-prime crisis-the global financial crisis-the debt crisis in Europe-the shortage of money-the stock market disaster";it fully demonstrates that FSI can accurately reflect Time-Varying Features of Systematic Risks in Chinese Banking.The financial crisis in 2008 made people aware of the shortcomings of the traditional banking supervision.It is necessary for regulators to adopt macroprudential policies to supervise the systemic risk in a multi-level and comprehensive manner.Macroprudential policies have introduced countercyclical and exogenous regulation,which are improvements and supplements to micro-prudential policies.Macroprudential policy instruments also have two types of time dimension and cross-sectional dimension.The former aims to flatten the credit cycle and prevent the credit over-prosperity from causing the accumulation of financial imbalances.The latter aims to reduce the financial linkages and reduce the risk of inter-agency negative externalities.In addition,the regulatory authorities should also pay attention to the use of tools such as macroprudential policies,monetary policies and micro-prudential policies.All departments should make overall plans for coordination and mutual cooperation.The macroprudential evaluation system should be optimized and perfected gradually so that risks in key areas Prevent and dispose of the financial sector;solidly promote structural reforms on the supply side and help de-leverage financial institutions and entities;regulate the flow of funds to the real economy and return the financial industry to the origin of the service entities;meanwhile,strengthen international exchanges and cooperation so as to effectively eliminate systemic risks to ensure the steady and healthy development of China's economy.