The Study On Econometrical Analysis And Strategy Of Risk Contagion In Chinese Commercial Banks

The complex credit risk between commercial banks, is easy to cause contagi-on, affecting the banking robustness. Risk contagion of the banking system has broad and narrow sense. The risk contagion studied in this dissertation is that the defaults even the bankruptcy crisis of the bank spread to other banks quickly, mainly through the channel of internal banks and inter-bank lending, and will lead to collapse of some banks or even the entire banking system. With the growing complexity of the global eco-nomic and financial situation and the introduction of new regulatory standards, The exiting risk contagion measurement model has not adapted any more.This dissertation employes the regulatory standards of Basel Ⅲ, combining cu-rrent international and domestic regulatory standards, improves risk contagion measurement models and estimated the risk contagion effect of China’s banks.It simulates banks’bilateral risk positions distribution through the Lingo9.0software, using the interbank lending data in the annual report2010of each listed bank, Under the guidance of the information entropy optimization theory; Based on the above, we programm using the Matlab7.0software, measure the banking risk contagion effect, under the simulation experiment condition of the different loss given default in interbank market, from three different index, i.e, banking assets losses ratios, affected bank number and the spreaded round. The conclusion as the follow-ing:1.The loss given default in interbank market is an important variable, which decide wheth the contagion occurs and the damage degree;2.The contagion of single bank in our banking system varies considerably;3.Under the situation of multibanks occur liquidity crisis at the same time, the banks with high leve core capital adequacy ratio,contagion effect are more intense and bring bigger influence for the banking sys-tem.Based on the above empirical results, some countermeasures and recommendati-ons are put forward:exploring the appropriate regulatory target and ideas; improving the supervising system from the perspective of risk contagion; strengthening the con-struction of remedial measures after the risk prevention failure, etc.