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Research On Systemic Risk Of China’s Commercial Banks Under Macro-prudential Perspective

Posted on:2016-12-13Degree:MasterType:Thesis
Country:ChinaCandidate:J Q ShiFull Text:PDF
GTID:2309330470952582Subject:Finance
Abstract/Summary:PDF Full Text Request
In2007, subprime mortgage crisis broke out in the United States, and thefinancial crisis has attracted much attention from all circles because of its devastatingforce, wide impact scope, longer duration and profound influence. To explore thecrisis causes, we found that an inter-agency and intersecting systemic risk has playedan important role; In addition, the emergence of various new financial derivatives alsocontributed to an escalation of this crisis. As an industry with a high incidencerate of systemic risk, together with increasingly close transaction in the interbankmarket, risk of the banking system may be more destructive and contagious.Meanwhile, frequent outbreak of banking systemic risk also reveals the weakness inprevious micro prudential policy. Thus, macro prudential regulation, with a major aimof preventing systemic risk, has become one of the focuses in the post-crisis era.Prudential regulation based on the macro perspective takes the overall financialsystem as a whole subject, which, compared with previous micro prudentialregulation based on micro individuals, focuses on the integrity of the system and itsmutual contagion. This paper selects the closing prices of14listed joint-stockcommercial banks of Shanghai Stock Exchange from September2010to December2014, and adopts VaR method and CoVar method based on quantile regression modelto predict its unconditional value at risk and risk spillover effect respectively. Theresults suggest that CoVaR method tends to perform better than VaR in predicting riskwhen risk erupts or under the impact of extreme tail events; meanwhile, riskcontagion in the system and its spillover effect level can be better described byCoVaR method. Besides, in our country’s banking system, five major traditionalstate-owned joint-stock commercial banks can better withstand risks than otherjoint-stock commercial banks. It should be particularly noticed that Industrial Bankand Huaxia Bank rank the highest in VaR under both VaR method and CoVaR method,and this suggests the two banks have weak capacity to cushion themselves againstrisks; we should also notice that VaR of China Everbright Bank and Minsheng Bankdecreases when considering the risk spillover effect, and this suggests that they canbetter deal with the outside negative impact when systemic risk outbreaks.Through the overall analysis, this paper suggests that our country has not yet toform a unified standard monitoring system framework and measurement technology, especially not establish reasonable measuring methods and regulatory system toprevent risks from contagion and spillover effect among banks. At the same time, itshould be noticed that listed banks are only part of the banking system in our country,and it is still a long-term and arduous task to predict and regulate risks of non-listedbanks.
Keywords/Search Tags:Macro Prudential, Systemic Risk, Commercial Banks, Quantile regression, Conditional VaR
PDF Full Text Request
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