The Risk Forecasting And Warning For Commercial Bank: A Model Based On Macroecononiic Influence

Considering existing commercial bank risk warning models’insufficientconsideration of macroeconomic factors, through theoretical and empirical analysis ofthe significant impact of macroeconomic factors for the risk of commercial banks, thispaper build a risk warning model of commercial banks including macroeconomicfactors.Most early warning models of commercial banks incline to ignore themacroeconomic factors the macroeconomic factors or just do simple qualitativeanalysis. By analyzing the impact of macroeconomic factors on credit risk and marketrisk of commercial banks and the influence of New Basel Capital Accord on thepro-cyclical of the risk of commercial banks, this paper clarifies the need to considerthe macroeconomic factors in the early warning of commercial bank.This paper is to build the model in two steps. Firstly, determine theMacroeconomic factors that affect the overall risk of the commercial banking industryin China. So by analysing the date from2003to2010of financial indicators of183banks in China, this paper applys Component Analysis to divide these banks into twotypes of high-risk banks and low-risk banks, and measured the overall risk ofcommercial banking industry on the basis of classification. Then this paperdetermined macro-economic factors which have a major impact on the overall risk ofChina’s commercial banking from the angle of economic cycle. The result shows that:1.Lending rates, the growth rate of money supply and the growth rate of investment infixed assets have a significant impact on the overall risk profile of China’s bankingindustry.2. Lending rates and money supply growth have a positive impact for theoverall risk profile of China’s banking industry while the growth rate of investment infixed assets negative impact.After the determination of macroeconomic factors, this paper verified that theimpact of macroeconomic factors for a single commercial bank risk is also significant.Then, based on the logistic model, this paper constructed MF-Logistic Modelincluding macro-economic factors. The empirical result shows that: the estimatedparameters of the MF-logistic model based on macroeconomic factors is significant, andhave a good goodness of fit. At the same time, we compared the MF-logistic model andlogistic model does not include macroeconomic factors, to find that MF-logistic model have better discriminate ability.At last, this paper used“3”rule to identify the warning range of the MF-logisticmodel, and Illustrated how to use the model to carry out early warning of the risk ofcommercial banks. On the basis of theoretical analysis and model empirical analysis,this paper put forward suggestions about how to improve capacities of early warningfor the risk of commercial banks with the combination of early warning models.