Systemic Risk Research And The Banking System Importance Recognition

In2008, the global financial crisis broke out. The fundamental reason is the lack of research on systemic risk and regulation. Aiming at the condition of the lack of systemic risk regulation, the international financial regulatory cooperation organizations and the regulatory authorities of the various states have strengthened the research and exploration of the systemic risk and macro-prudential supervision after the crisis.Firstly, the article will be based on the Contingent Claims Analysis method and the method of network model to study the systemic risk of China’s banking system to identify systemically important Banks from the time dimension and the cross section dimension. Secondly, through the comprehensive evaluation of the above two indicators together, the article can build a new index. The index of Banks has a more holistic understanding of systemic risk. First of all, the Contingent Claims Analysis method can be used to measure the financial sector index of systemic risk:systemic default distance and the average default distance measured from the time dimension systemic risk of financial system and periodic characteristics. Secondly, on the cross section dimension, the network model method is used to examine the degree of systemically important Banks, risk spillover index. The index to measure which affected by the default risk of the bank to other bank, the risk spillover is higher, and can calculate the system importance. Finally, considering time dimension and the cross section dimension, through the comprehensive evaluation method to index of two methods together, the article establish a new index. The index can be more comprehensive understanding of China’s banking systemic risk, and can determine the systemically important Banks.This article uses the Wind database data of stock market and the annals of bank’s public disclosure of financial data from2007to2012to calculate. Empirical conclusions are as follows:(1) The average default distance and systemic default distance can well reflect the dynamic change of China’s banking systemic risk, systemic risk is higher during the crisis after crisis, still can not be ignored. In addition, to compare with the state-owned Banks, small and medium commercial bank have smaller default distance, more weak anti-risk ability;(2) Using network model method to calculate each bank system risk spillover, it is concluded that most of the state-owned Banks have a higher risk of externality, the strongest risk spillover for three bank:bank of China, industrial and commercial bank of China and China construction bank;(3) Combined with CCA method and the method of network model, construct the comprehensive evaluation index of systemically important Banks, and according to the index of sorting the relevant bank is divided into three categories:systemically important Banks, will develop to systemically important Banks of importance as well as the Non-systemically important banks. Among them, systemically important banks as Bank of China, Industrial and Commercial Bank of China, China Construction Bank; systemically important banks potential for HUAXIA Bank, Industrial Bank and Ping An Bank; non-systemically important banks as MINSHENG Bank, Bank of Communications, Shanghai PUDONG Development Bank and China Merchants Bank.Since the method used in this paper is not only able to monitor the real-time dynamics of China’s commercial banks of systemic risk, and be able to identify the degree of systemically important Banks, help from two dimensions of time and cross section in practice to strengthen financial regulation of systemic risk regulation.