Measures Of Systemic Risk Of China’s Banking

U.S. financial crisis broke out in2008, which is the most serious since the1930s, a global financial and economic crisis, the world economy has been hit hard and needs a long time to recover. The international community generally believes that the accumulation of systemic financial risk and the lack of macro-prudential supervision, are both the important factors that cause the serious financial crisis. Since the crisis, the national financial regulatory authorities have introduced measures to strengthen the supervision of systemic risk of financial institutions.Over the recent years, China’s commercial banks got a high-speed development. As of the end of the third quarter of2011, the total assets of commercial banks amounted to83.3trillion yuan; liabilities of up to78trillion yuan. We expected that China’s economic structure will be more optimized in the future, government macro-control capacity will continue to improve. China’s macro economy is expected to maintain a growth rate of6%to8%, banking sector will continue to benefit from the high-speed growth of macroeconomic. However, we should note that China’s banking system also has a great vulnerability, will gradually increase with the deepening of financial reform and the entry of foreign banks, competition in the banking sector is bound to be more intense, the risks will gradually increase. If left unregulated, financial systemic risk will continue to accumulate, it may ultimately lead to the crisis. However, the regulatory authorities must first be able to effectively identify and measure systemic risk before taking measures. Therefore, it is important to study the measures of systemic financial risk.This paper consists of six chapters:Chapter one introduces the background and significance of the research, the research status at home and abroad, research content and research methods, and made a note on the innovation and deficiency. Chapter two introduces the theory of systemic risk, including the definition of systemic risk and the analysis of it’s causes. We introduce three types of methods: forward-looking measures, network and cross-section measures. Chapter three theoretically compares MES and CoVaR measures, to explore their links and their relationship with traditional risk measures—ES and VaR. Chapter four measures the systemic risk of China banking based on MES. The empirical results show that: from January2008to December2008during the United States financial crisis struck, the systemic risk contribution of China’s listed banks is significantly higher than other periods, MES measure is suitable for China’s situation; Both during and after the crisis, the systemic risk contribution of the large state-owned commercial banks is relatively higher than small joint-stock banks; systemic risk contribution is different from the traditional risk, for some traditional high-risk banks, whose systemic risk contribution is not necessarily large. Finally, also based on the data of China’s14listed banks, we make an empirical comparison of the MES and CoVaR measures. Chapter six is the conclusion.