Study Of The Relationship Of Systemic Risk And Income Structure Of China's Listed Commercial Banks

The financial crisis in 2008 warns that financial risk has obvious externalities,which prompts market participants,academics and regulators to pay more attentions to the macro prudential in risk management based on the systemic risk.In order to implement the macro-prudential regulation better,a suitable method should be found to measure and predict systemic risk of financial institutions accurately.But using the bankruptcy risk to measure banks' risks is unable to meet the requirements of macro prudential in risk management.While the Long-run marginal expected shortfall(LRMES)method can analyze the risk spillover effect of individual Bank and measure the contribution of individual Banks to systemic risk.At the same time,as with accelerating China's process of financial disintermediation and interest rate liberalization,the access of foreign Banks,and the rapid development of non-bank financial institutions,such as Internet financial,as well as to keep up with the trend of mixed operation of banking,Chinese commercial Banks have been speeding up the pace of their own transition in recent years,and more attentions are paid to the important role of non-interest income business,changing income structure dramatically.Although this brings tremendous benefits for commercial Banks,the non-interest income business may produce new risks to commercial Banks.Academics still can't draw an unified conclusion about the relationship between the systemic risk and income structure of commercial bank.Based on the yield data of 14 Chinese listed commercial banks ranging from January 2.2008 to March 31,2015,LRMES method is used to measure the systemic risks of these banks in China.Some panel data models are constructed based on data of systemic risks obtained from LRMES and some variables,such as income structure.Results show that LRMES calculated conforms to the reality.In the lag effect model of Banks' systemic risk and income structure,Banks' systemic risk LRMES is positively correlated to non-interest income,negatively correlated to the fees and commissions,not significant with other non-interest income.And this paper analyzes current effects of bank's income structure to systemic risk innovatively,and the results show that the bank systemic risk is significantly positively correlated to non-interest income,significantly negatively correlated to the fee and commission income,significantly positively correlated to other non-interest income.At the same time,this paper also analyzes the feedback effects of bank's systemic risk to income structure,and the results show that both the current and the first-lagged bank's systemic risk have significantly positive effects on the non-interest income,and are significantly positively correlated to the other non-interest income,but are not very significantly correlated to fee and commission income.Finally corresponding policy recommendations are put forward based on the conclusions of the paper and the the situation of China's banking sectors.