Risk Measurement Of Commercial Banks And Analysis Of Marco Factors

China contact with the world economy more and more closely,in this foundation to promote mutual exchanges between the financial sector on the other,it also promoted the development of the international banking industry.However,the risk is also increasing,especially since the financial crisis in 2008,to the world financial industry sounded the alarm.The international financial liberalization and finance the Bank continues to open up as the core of risk in the financial system increasing,it is easy because of a regional risk caused by the world financial crisis.Therefore,how to effectively prevent and avoid the risk of the bank,and to develop strategies to reduce the impact of bank risk in the real economy,has become the focus of attention of the various regulatory agencies.China and China in the economic transition period,how to prevent the risk of contagion between international and domestic banks,has become an important test of banking risk Component.First of all,the article takes ICBC as an example,the use of bank daily return data on the short-term risk of industrial and commercial bank value simulation.In the analysis,the data meets the ARCH model to analyze,finally come to meet ARCH requirements.The final model of ARCH,GARCH,EGARCH simulation,and analysis of the various model list the whole process of data processing,the final selection of the EGARCH model,then the specific value at risk.In the analysis,we China to five state-owned listed banks as the research object,analysis of each bank daily stock return,the Shanghai index and bank index long-term risk.Secondly,the various factors influence macroeconomic model analysis the longterm risk of bank.Based on summarizing the previous analysis and combined with the current economic development situation on the basis of choosing six macroeconomic indicators,and constructs a vector auto regression model,an empirical analysis of factors affecting the macroeconomic impact of bank risk fluctuations.At last long time the specific effects of specific variables,analysis of risk,and the conduction processFinally,through the analysis and Simulation of banking of the five banks affect the long-term risk and macroeconomic factors,we can analyze the risk research results: first,the ARCH model through the analysis and comparison of various types,are explained from 2010 to 2016 the state of risk,and a good simulation of the risk China period the current economic restructuring.Five listed state-owned banks long-term risk is relatively stable,and in the country.The CBRC within a reasonable range are respectively measured by short-term and long-term risks,we can be very good to deal with the risks,take targeted measures.In second,the five major state-owned banks compared to similar risk difference however,the risk of fluctuations is great,especially the traffic bank,should strengthen risk prevention,other banks make appropriate adjustments according to their own actual situation,for the risk control under the reasonable Finally,the empirical analysis shows that: GDP,CPI,the growth rate of the exchange rate has a greater impact on the long-term risk,and has a greater impact on the overall economic operation...