Reserch On The Systematic Risk’s Cotagion Effect And Resk Prevention Of Chian’s Interbank Market

In the process of global economic integration, how to prevent the financial crisis has been a hot topic. What the financial crisis to us was that the contagion effects has become the essential in the banking crisis. As we all know when a lot of common risk exposed in banking system, an accident within the system is likely to result in losses for all the banks. The bankruptcy of a single bank can infect other banks through the direct exposure in the interbank market, Besides, since1998’s reform of the housing system began in China, the housing prices soared constantly, and the price bubble is likely to trigger financial risks. Thus, in the condition of the real estate financing channels relying on the banking credit. The banking crisis would be easily happened.On the basis of the above truth, the study of this paper is from three aspects, the risk source identification, the risk contagion and the risk prevention. In the process of risk sources identification, the paper was based on the existence of common impact factors, selected the impact of fluctuations in the real estate market as the research angle of view, took the scenario analysis method as the macro stress testing, regarded the real estate loans as the common bank risk exposure, examined how the banking system response under the assumed loss rate, and then found the bankruptcy threshold in each year. In the measurement of risk contagion, this paper analyzed the banking system risk contagion way and channel, used the matrix method to estimate the risk contagion effect among the 20 commercial banks in 2008 -2014 year. Finally, in the research of risk prevention, this paper tested the banking risk contagion by improving the different ratio of bank capital and reducing risk exposure.The main conclusions are as follows. First, under the real estate market volatility shock, the less solvent a bank is, the greater it is affected, the more possibilities to face the bankruptcy. When the loss rate reaches a certain threshold, it would be contagious. Second, there is a significant risk contagion effect in the interbank market in China, which has a great influence on the risk of the banking system. Third, according to an analysis of the data from 2008 to 2015, the anti—risk capacity of China’s commercial banks has been increased, suggested by the decline of the bankruptcy loss rate. Forth, there is an important connection between the bank system risk and the loss rate, the importance of the initial bankruptcy bank. Fifth, our country’s banking system has its limitation to resist the risk which the real estate market’s volatility shocks brings, if the loss rate beyond a certain critical value, a systemic bank crisis would happened. Sixth, it was effective to ease the crisis when the bank capital has been increased and the network structure has been improved.