The Research On The Systematic Risk Of Chinese Commercial Bank In The Post-crisis Period

The financial crisis which broke out in2007has caused huge damage to the global financial economy, and now it has aroused Chinese government and economists’ great concern about systematic risk again. After the outbreak of the financial crisis, having issued lots of analysis reports about the systematic risks, many western countries and organizations have emphasized the importance of the regulation of systematic risk. The Chinese regulators also have claimed the significance of the control of systematic risk in commercial banks and considered the supervision of commercial banks’ systematic risk as the most important thing in the future regulation. So what systematic risk is, how it comes into being, how much it exists in our banking system and how to regulate it, all of these problems that we face need to be solved immediately.Based on the connotation of commercial banks’ systematic risk, this dissertation describes its formation mechanism and performance characteristics against a background of recent financial crisis. Then, the dissertation analyses the performance and the forming reasons of systematic risk under the circumstance of the subprime crisis from three aspects:the macro, micro and supervision. Particularly, from the point of the triggering and the contagion channels, it discusses the reasons which may cause systematic risk of Chinese commercial banks. On the basis of theoretical and practical analysis, the dissertation selects fourteen listed banks in China, and uses the Sharp’s market model as the empirical method to analyze the systematic risk of Chinese commercial banks.We can draw some conclusions from the empirical results. Firstly in China, systematic risk comes from the inner of the banking industry. Because when using the Shanghai Stock Exchange Composite Index as the Market Index to calculate the values of Beta of each commercial bank, the author found that all of these Beta-values were not only less than those Beta-values which applying the Financial Index as the Market Index, but also less than1.Secondly, the systematic risks of the commercial banks in China has a polarization tendency. On the whole, the present level of systematic risk of Chinese commercial banks has declined compared to two years ago, but there is a signal which implies that systematic risk will increase and polarize in the future. The more systematic risk commercial banks have now, the more risks they will face in the future. Thirdly, three large commercial banks (BOC, ICBC, CBC) have the largest Beta-values of all samples. The large commercial banks have higher systematic risk than small and medium joint-stock commercial banks.According to the empirical results and the practical analysis, the dissertation propose some suggestions to take precautions against systematic risk of Chinese banking industry including the implementation of macro-prudential regulation, the additional capital requirement, the limitation to business of high systematic risk and properly dealing with the "too big to fail" problem and so on.