Research On Credit Concentration Early Warning Of Commercial Banks Based On Basel ? And China's Financial Structure

In 2008,due to credit concentration in the real estate industry,the United States broke out “sub-prime crisis”,and finally evolved into a global financial crisis.In 2010,International regulatory agency introduced The Basel ? Accord(Basel ?),International regulatory agency use the accord to supervise credit concentration risk of commercial banks.Chinese financial system is still dominated by commercial banks,commercial bank bring loans to enterprise on the credit guarantee of collateral value,lead to commercial bank's credit concentrate to large enterprises,the advantages of the industry,the economic developed areas,loose monetary policy after 2008 exacerbated the risk of credit concentration.This paper was based on the Basel ?,combined with the characteristics of China's financial structure,research on early warning of commercial bank credit concentration.Firstly,this paper explains meaning of credit concentration or correlative conceptions.Basel ? first put forward the concept of systemically important banks,this paper divided commercial bank into systemically important banks and non-systemically important banks,use 2009-2015 annual report data of commercial bank and modified Herfindahl-Hirschman index,the article analyzes the current situation of credit concentration,and credit concentration will bring some risk to macro-economy,commercial bank and enterprises.Secondly,at the level of the theoretical research on the risk of commercial bank's credit concentration,this paper measured the credit concentration risk of commercial bank from the point of view of economic capital measurement.This article briefly introduces the model of The Internal Ratings-Based(IRB)-ASRF model and the improve model-GCRM model of ASRF model;from systemically important banks and non-systemically important banks perspectives,this thesis substitute non-performing loan ratio for Probability of Default,use modified HHI index to construct panel data model,estimate the Probability of Default of commercial banks;this essay combines GCRM model with parameters estimate the economic capital of commercial banks.According to the research,economic capital increase with parameters,in other words,the risk of commercial bank's credit concentration increase with parameters.Then,this paper research credit concentration risk early warning of the commercial bank from the practical operation aspect.This article based on the characteristics of China's financial structure,combined with the data of systemically important banks,improved the commercial bank's system of credit index,the credit index system include 36 indexes,conclude the head office and branches,use HHI index judge the rationality of the commercial bank's system of credit index.Finally,this paper based on the previous research,from macroscopic and microcosmic put forward targeted policy suggestions.Macroscopic conclude relevant government departments,central bank and financial supervision department,microcosmic conclude the head office and branches.