The Study On The Risk Monitoring And Early Warning Indicator System For The Rural Credit Cooperatives

The global financial crisis triggered by U.S sub-prime crisis spread to the global financial system, the bankruptcy and restructuring of major financial institutions cause all the nationals'concern about the stability of the financial system, the financial system is fundamental to a country's economy, it is extremely important. Although the opening degree of China's financial system is limited, but the financial crisis has spread to the real economy in China, as a major exporter, China's import and export have a great contribution to the GDP, resulting in the slowdown of economic growth in China, and indirectly had an impact on our financial institutions. Rural credit cooperatives is banking financial institution, its second only to state-owned commercial banks and joint-stock commercial banks, its loan scale is the third in the financial institution of our country, but It is different in the structure, properties, and so on with the commercial banks. Rural credit cooperatives have the most rural branches in financial institutions, is the major source of funding Agriculture and financial hub, it shoulders the mission of giving Service to "Agriculture", the financial crisis environment, the state asked to increase credit support to their small and medium enterprises and "three rural", so the stability of its own business is an important prerequisite. To serve the "three rural" better, to support the agriculture better, rural credit cooperatives should control its own risks first, establish a scientific, applied, sensitive risk monitoring and early warning indicator system, according to the forecasts of risk profile, take appropriate measures to resolve the risk, nip the crisis in the cradle, it's important for rural credit cooperatives to serve the "three rural" better.In addition, since frequent financial crises in the 90's of the 20th century, the Capital Accord of Basle Committee was amended, the new Capital Accord, mainly composed of three pillars, in the second pillar"the contents of regulatory oversight", the new Capital Accord proposes that credit risk regulatory capital should be sufficient to deal with complex and unpredictable economic environment, to cover the possible losses, requires that banks should carry on conservative stress test to predict How much capital it should keep to respond to the extreme loss , stress testing can be knowed as one of the technical means for bank to hold excess capital. Many banking system of the world developed countries has spreaded out the stress testing, but in China the technology is still at the exploratory stage of development, stress tests have not yet been fully promoted. Therefore, based on the requirements and recommendations of the Basel Agreement, combine with the actual situation in our country, conducting stress tests on rural credit cooperatives are far-reaching significant for risk prevention and healthy development.This paper is divided into five main chapters. Chapter 1, Introduction. Firstly, this article introduces the background of writing and research significance; Secondly, descript he development of the theory of financial risk management process, the main contents of the Basel Accord and the current risk measurement methods briefly, and comprehensively review the domestic and international research literatures on rural credit cooperatives, and finally put forward this article to study specific issues and the basic framework. Chapter 2, the risk analysis of rural credit cooperatives. Firstly analyzes the structural differences between rural credit cooperatives and the commercial banks, it's the significance of perspective of this research; Secondly describes the operating status of rural credit cooperatives, and a variety of issues and risks on business management; Finally, analysis of risk sources of Rural Credit Cooperatives. That is to analysis the formation mechanism of its risk, research the status of rural credit cooperatives in China and how the various risks are caused by. Chapter 3, the risk monitoring indicators system of rural credit cooperatives. Firstly, based on the risk monitoring index system framework previous studies has made, according to the requirements of the Basel II, this paper forms the design ideas of index system, targets to build a scientific systematic, practical sensitivity, operability features index system; Secondly, build the risk monitoring index system. Through theoretical and empirical analysis of the risk of RCC, build a suitable system of monitoring indicators, including credit risk, market risk, liquidity risk and operational risk indicators in four areas; Finally, describes the models of risk monitoring and early warning that will be used in the latter future. Chapter 4, under the new Basel II's main content and the recommendations, this paper carried out stress tests on the Rural Credit Cooperatives'major risk - credit risk, loan is the largest and the most obvious source of credit risk, according to RCC's actual lending situation, this paper, make rural credit cooperatives'default rates as the dependent variable, use Logistic regression model to research the impact of GDP growth, the consumer price index CPI growth rate and per capita income of urban residents to default rates of loan of the Rural Credit Cooperatives. In Chapter 5,carry on the empirical research of risk monitoring and early warning of China's rural credit cooperatives. In this chapter, based on the raw dates of rural credit cooperatives of Liaoning Province, use factor analysis Method to comprehensively evaluate the risk profile of Rural credit cooperatives, and use ARIMA models to forecast the next 6 months dates of the original index and synthetic indicator, then according to the dates, to predict the risk situation of the rural credit cooperatives in 2010.According to the empirical analysis, Firstly, according to the particularity of the rural credit cooperatives and the sources of risk, I build a set of risk monitoring and early warning indicator system, the indicator system include regional macro-economic indicators, indicators of vulnerability of the financial system and rural credit cooperatives'micro-index. Secondly, according to the New Basel Capital Accord, this paper conducted stress tests on the major risk of rural credit cooperatives-- credit risk, the risk of defaults of loans is the dependent variable, through Logit transformation to establish Logistic regression model with the macroeconomic variables, found that nominal GDP growth rate, consumer price index CPI growth rate and capita income of per urban residents had significant influence on default rates of loans, through the analysis of the scenarios, we may see nominal GDP growth rate has the greatest impact on default rates, GDP growth rate's fluctuations may cause relatively large fluctuations in PD. According to the estimation of the default rate PD, default risk exposure EAD, LGD , based on the definition of expected loss EL and non-expected loss UL under the Basel agreement, this paper calculated expected losses and unexpected losses of rural credit cooperatives under different scenarios, this value can be used as the basis of credit cooperatives to provise loan impairment and determine economic capital; Then, this paper use factor analysis method to comprehensively evaluate the risk status of rural credit cooperatives and use ARIMA Model to predict the data of January-June 2010, and get the conclusion that the level of risk of the rural credit cooperatives has decreased but still at a high level.