Empirical Studies On Systemic Risk Of Chinese Commercial Banks

In 2008, US subprime mortgage crisis eventually spread to the global financial industry, leading commercial banks around the world there to hold a large number of bad debts, and a series of banking crises to break out. This global financial crisis reflects the negative externality of systemic risk as well as systemic risk of the financial institution is more serious with respect to individual financial institutions in terms of their risk. Systemic risk has become a major threat to financial stability and financial security. Methods of measurement of systemic risk prevention mechanism after the financial crisis has become the main object of study of domestic and foreign researchers.By reading literature, this paper summarizes the theory of the formation reasons of systemic risk: the financial system inherently unstable, information asymmetry, monetary policy disorders and so on. From a practical point of view, the commercial bank is the core sectors of our financial system, and its objects are currency and risk management. Various risk events and changes in operating indicators in the course of their business could trigger systemic risk. This article analyze the operating status of the commercial banks from "three" principle--security, liquidity, profitability. We can see that although China’s commercial banks maintain sound management with coordination of the three principles, non-performing loan ratio of major commercial banks continue to rise as well as commercial banks take a series of measures to improve its non-interest income and cope with interest rates marketed so that the possibility of systemic risk in the banking industry increases.Based on normative analysis of commercial banks’ systemic risk, this article chooses 16 listed commercial banks as samples. It measures the size of the major commercial banks’ spillover effects of other commercial banks and the banking system through a quantile regression-based CoVaR method. The empirical results show that: the CoVaR method can better measure the size of its systemic risk than VaR. CoVaR method is more comprehensive coverage of the impact of various factors including the systemic risk of extreme events. In addition, it follows the larger scale, the greater regularity of systemic risk. But except to the size of capital assets, identifying the systemic risk of commercial banks should also concern about the degree associated with other banks, in certain types of business or market substitutability and influence in the financial markets.Through analysis of the basic reality factors and empirical research of systemic risk of China’s commercial banks, the paper puts forward policy recommendations to prevent systemic risk of China’s commercial banks, including to further promote macro-prudential supervision, to strengthen supervision to the system important banks, to improve the supervision of small and medium financial institutions.