The Study On Effects Of Macro-prudential Supervision On The Capital Management Of Commercial Banks

With the implementation of the macro prudential supervision framework and the deepening of financial reform, the business environment of commercial banks has been more and more complicated. As a result, how to effectively conduct capital management has become an important issue for banks. Under such circumstances, this paper studied on the capital management under the macro prudential supervision framework, so that they can better adapt to the new economic environment and regulatory requirements.First of all, based on the basic theory of macro prudential supervision and capital management, content of Basel Accord and new progress of capital management and the necessity of the implementation of macro prudential supervision are analyzed in this paper. Then, this paper analyzes the current situation and problems of commercial banks'capital management in China and the influence of the macro prudential supervision framework on the capital management of commercial banks. According to micro Prudential framework bank capital corresponds to non-expected losses. Under the coordination between the framework of micro prudential supervision and macro prudential supervision, the connotation of non-expected losses is supposed to expand. The reference value for the expansion part is the expected value of the extreme loss in bank loss distribution map. Additional capital corresponding to generalized non-expected losses is put forward, which are supplements of the commercial bank capital management theory framework.Based on the qualitative analysis of the theoretical development, VaR and ES of bank system are estimated based on the Expectile under conditional heteroscedasticity and the risk of the banking and the single bank are measured under the impact of macro shocks. Empirical results show that once a macroeconomic shock occurs, risk of banking system and a single bank significantly increased. So banks need to take the systemic risk into account within the framework of risk management, that is to say, system risk in biochemistry. Therefore, under macro prudential supervision framework, commercial banks need additional capital, making capital and generalized non expected losses corresponding, which also is the previously mentioned bank risk loss in tail risk expected loss (ES), to solve the problem of Risk Spillover.Finally, based on the above qualitative and quantitative analysis, suggestions to improve the capital management of commercial banks under the macro prudential supervision framework are put forward. Such as, strengthening the system risk analysis assessment and early warning; in addition, broadening the effective capital supplementary channel; improving the efficiency of capital use.