Commercial Banks' Systemic Risk Measure And Macro - Prudential Supervision

In financial market, commercial banks face with risks affected not only by their own factors, but also by the economic cycle, the change of national macroeconomic policy, the external financial shocks and other financial risk institutions. The correlation between banks and commercial banking system poses systematic risk. Systematic risk is difficult to be general supervised and will bring huge negative externality to commercial banking system and macro economy which has been paid attention to by academic circles and government departments.In this paper, first of all, a CoVaR model is employed to analyze systemic risk value and financial risk conducting mechanism in 12 listed commercial banks by Quantile Regression. The empirical results show that:when q≤0.05, different banks have different financial systemic risk conduction to Chinese commercial banking system, there is a big difference in the stability of the 12 listed banks. Secondly, we selected China Construction Bank and Shanghai Pudong Development Bank as the representative of State-owned Banks and joint-stock Banks, Using VaR、CoVaR、 NPL Ratio、ROA、Equity Multiplier Total Asset & RGDP as explained variables to complete the principal component analysis. According to the principle of cumulative contribution which is more than 85%, we selected the firsts second and third principal component build EGARCH model, analyzing the main factors influencing the systemic risk of listed banks. According to the results of two measurement models, different explained variables show lag correlation with CoVaR. Regulators can monitor systemically important banks according to these variables.