| Due to the asymmetry of the information, uncontrollable risk and other objective factors, it is impossible for banks to offset these risks completely. These risks which are not offset expose in the risk become "the risk exposure".Since the year2007the financial crisis broke out, a lot of attention has focused on the assessment of the risk exposure of commercial banks. Managers of banks even strengthen the supervision of the risk exposure so that they can make policies better to reduce these risks, pull through the financial crisis successfully and make their own benefits maximal. This thesis uses Stiroh, Deyoung and Rice(2004) for reference, using SDROE, SDROA to measure the risk exposure to prove that the greater its value is the smaller risk is. Meanwhile, the thesis draws lessons from Lepetitet’s method of measurement, making use of Z-score to weigh the variable of the bankruptcy of the risk to prove that the greater the value of Z-score, the smaller possibility of the banks’ crisis happens. Using RAROC which means that after the risk adjusted the return on capital measures the results of the risk-adjusted could prove that the greater its value is the more returns of the risk-adjusted are and the smaller the risk is.The specific situation is the lower RAROC, SDROE, SDROA and Z-score. This conclusion supports the theory of the signal hypothesis. However, the size of the risk exposure in financial crisis is related to the following factors except for capitals based on risks. This thesis discusses the influence of the risk exposure on the risk from the following aspects such as the scale of banks, the proportion of loan loss reverses, the concentration ratio of real estate loans, the proportion of securities relative to total assets, non-interest income-independent, potential increasing chances, the ratio of loan and deposit, the variety of inordinary benefits of banks in the end of the year before the crisis and so on. XuYouchuan(2011) studied the impact of the regulatory pressure on the adjustments of banking capitals and risks, finding that the supervision could not change the risks of banks but had the influence on the adjustments of capital. Therefore, the supervision based on capital risks can not always reach the aim of decreasing the actions of banks risks. However, this thesis points out the obvious negative correlation between the capital based on risks and the risk exposure after the crisis. In addition, the core element of the new Basel agreement is to improve the quality and quantity of capitals, considering that the more the capitals are the lower risks are. Based on the analysis of63banks in Chinese banking, the thesis finds that the more capitals based on risks are the higher the risks are-the capitals based on risks and the risk exposure are positive correlations. This result supports the signal hypothesis, which means that under the condition of capital risks, bank capital in the financial crisis plays a role of an indicator and banks with high level risk capital in the financial crisis is not enough to cover its expected losses. However, the low level of available-for-sale securities and less dependent on fee income of the bank suffer losses in the financial crisis will be greater. What’s more, before the crisis, banks with better operating performance, lower loan-to-deposit ratio, higher reliance on non-interest income, the growth capital rates are better able to face the threat of financial crisis. |
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