The Research On Systemic Risk Metrics Of Commercial Bank In China Based On Matrix Method

The global financial crisis triggered by the subprime crisis in America in 2007 caused the rapid spread of systemic risk all around the world. Many countries’ economic and financial development has been hit hard, drawing attention to the warning and prevention of systemic risk among financial institutions and supervision authorities. Though the crisis is near its end, the effects are far from over and it will be a perpetual theme of financial industry to measure and prevent systemic risk.It is proved that the complicated relation makes risk be contagious between banks, and the state maybe create a false impression to national economy if out of control. The category of this dissertation is the condition that a single bank or many banks defeat to the serious ruin of the whole bank system financial function: systemic risk of banks.First, The dissertation gives a common theoretical analyze to systemic risk of banks. It summarizes that systemic risk of banks possesses these features: infectiousness, dissymmetric of risk and profit, communication with the confidence of investor, negative externalist, and the infectiousness is the most intrinsic feature on base of differentia of system risk and systemic risk, banking supervision and systemic risk of banks, narrow and broad sense of systemic risk of banks.Then it analyses the causes of systemic risk of bank. Second, this dissertation presents and compares with the three measuring methods of systemic risk, including: method of index-variable, method of data-simulate and method of exposure-estimate. To further more, it emphatically sets forth a typical method of exposure-estimate—matrix method including basic principle, measuring order and its superiority of applying in China.In final,this dissertation sends some political suggestions to reduce systemic risk of China, such as Strengthening basical system of the banking system, enhance capacity against. Unexpected financial capacity incident, coordinating macroeconomic policy relations.