The Measurement And Early Warning Analysis Of Potential Systemic Risk Of China’s Commercial Banks

In recent years, Asian Financial Crisis, Greek Debt Crisis and The U.S. subprime mortgage crisis, makes many countries and regions in the world suffer an unprecedented impact. Such a series of events as the sustaining economic recession, dramatic stock market volatility, reducing domestic demand and increasing corporate bankruptcy have attracted the attention of domestic and foreign experts. As we all know, the general systemic risk does not occur and its change is also difficult to be detected in normal life.However, the potential systemic risk is likely to be accumulated as the occurrence of certain events and will break out when it reaches a certain level, and the impact caused by this outbreak may exceed the sum of impacts caused by all the other risks, and will spread among different sectors, resulting in overall crisis, moreover, this crisis cannot be resolved through the diversification of investments. 2008 Financial Crisis is not only a warning but also a test. On the one hand, it allows people to experience the enormous losses after the outbreak of the potential systemic risk, on the other hand, it reminds people of effective guard and warning against systemic risk.Currently most literatures are mainly generated from and research on three aspects:the root of systemic risk, transmission of systemic risk, guard and precaution against systemic risk; and the specific study methods taken are also different. This article includes the following two aspects: The first part is to measure the systematic risk of Chinese listed banks by the use of relevant theoretical models; the second part is to predict the systematic risk by the use of a set of reasonable pressure indicators. As regard to the measurement of systemic risk, this article firstly follows Granger Causality network analysis, proposed by Monica Billio in 2011, to measure the overall systemic risk, then adopts △ CoVaR, proposed by Tobias Adrian and Markus K.Brunnermeier in 2008, to measure the contribution of each bank to systemic risk. In actual research,since China’s systemic risk currently sources mainly from three aspects- the real estate bubble, shadow banks and government debt, the impacts on systemic risk caused by these three aspects are taken into consideration in the process of measuring contribution of each bank to systemic risk; besides, some of the systemic risk factors recognized internationally are also taken into consideration. Those two considerations finally constitute our indicator system of risk measure. On the other hand, this article also studies the relationship between systemic risk and the nature of banks themselves, so asto make some appropriate regulatory basis for regulators. As regard to the prediction of China’s overall systemic risk, mainly on the basis of analysis of the existing domestic and overseas literature, we establish a systemic risk warning indicator system in line with Chinese characteristics, and econometrics is applied to filter indicators. Finally the effects of all indicators on systemic risk are obtained and regarded as warning signals before the occurrence of systemic risk and provide early warning basis for relevant regulatory authorities.