An Analysis Of The Factors Affecting The Systematic Risk Of China 's Commercial Banks

For U.S. Sub-prime crisis in2007and European debt crisis in2009, global financial stability is becoming one of the hottest issues. And banking sector is as the core of the finance, the prevention and control of banking systemic risk are put on the agenda, a unified financial regulatory coordination also tends to be imminent. In academic research, scholars from different theoretical foundation analyzed the causes of systemic risk, studied systemic risk from multiple perspectives identification, measurement, control and management. However, due to different research methods, different objects, the conclusions are not always the same.With the development of financial markets in China, increasingly complex banking institutions, the innovation of financial products, the expansion of local government debt, external economic shocks and etc., China’s commercial banks is increasing the possibility of systemic risk. However, the risks of China’s banking present them unique features, for the banks enjoy the country’s reputation as their implicit guarantee. The paper uses the data of China’s commercial banks industry as sample, to construct nationally appropriate and accurate systemic risk measurement model, in order to provide technical support for China’s commercial banks in the overall management of systemic risk.The structures of this paper are followings:First, based on existing literatures, the paper defines the definition of systemic risk and summarizes the characteristics of systemic risk, mainly analyzes formation mechanism, infection mechanism of systemic risk. Second, the paper explains the status in quo of China’s banking systemic risk from the property rights system and risk management system, analyzes the reasons of systemic risk of China’s banking and transmission paths of systemic risk. Further, this paper uses the data of China’s commercial banks in the first quarter from2006to2013as the study of sample, and theoretically and empirically studies endogenous, exogenous affecting factors of banking systemic risk. Using principal component analysis for data processing, the paper extracts the unrelated common factors to build measurement model of banking systemic risk to meet the characteristic of our country. The result shows that:the dominant factors of systemic risk of China’s commercial banks are the capital adequacy, asset quality, liquidity, profitability, and macroeconomic policy and currency risk also have a certain impact to systemic risks. Finally, the paper summarizes the development of international financial regulation Basel treaty, learns the regulatory experience of systemic risk from developed countries and regions, puts forward the general ideas of prevention and control measures of systemic risk for China’s banking, builds a macro and micro prudential supervision, financial safety net of banking industry in China.