The Early Warning Research On Commercial Banks' Default Infection Concentration Risk Based On The Perspective Of Basel ? And Chinese Financial Structural Features

With the increasingly close ties between the economy,a series of default events caused by infection occurred centrally draws the Basel Committee to the importance of contagious contagious.In 2010,Basel ? broadened the scope of credit concentration supervision,and then attracts academia and the outside world to concentration risk of default infection.In view of this,this paper standing with the perspective of commercial banks,based on Basel III and the characteristics of China's financial structure,studies the early warning research on the concentration risk of default infection from two aspects: the risk measurement model and index system.Firstly,the concept,transmission channel and risk management process of concentration risk of default infection are introduced briefly,and the quantification methods of credit risk are compared and summed up.It provides theoretical guidance and technical support for the revision of quantitative risk model of default concentration.Secondly,on the risk measurement model,based on Basel ? to expand the regulatory scope of credit concentration,this paper makes a reasonable revision of existing concentration risk of default infection measurement model on the basis of previous research results.The first,improves the parameter estimation method in the Dullmann model.The time interval between adjacent default events was regarded as the key factor affecting concentration risk of default infection in supply chain,and adjusted Credit Transmission Model Based on Binomial Expansion Technique.The modified Dullmann model optimizes the parameter estimation method.The probability of default infection varies with the time interval of default event,and is no longer a fixed constant.The second,based on Basel III,which emphasizes the interrelationship among financial institutions and the impact of single bank on the whole financial system,this paper introduces the spillover effect of banking financial institutions on systemic risk,and divides the systemic risk factors into macroeconomic conditions and financial market conditions,then the EMFA model is modified.Although the modified model does not give the analytical formula of economic capital,it makes up for the neglect of the EMFA model to the default effect of financial institutions and deepens the understanding of the risk of default.Thirdly,in the construction of index system,this paper starts from the macroscopic level and the micro level.At the macroscopic level,we combine the quantile regression and CoVaR method to calculate the conditional value of risk and set the threshold of early warning to guard against the contagion effect between industry,industry and region.At the same time,the conditional value-at-risk is included in the model,and the reasonable credit proportion of the commercial bank in industry,industry and region is considered.At the micro level,the risk early warning indicators of commercial banks' default risk of contagion are improved from two aspects.From the perspective of default infection between banks and other financial institutions,the entropy method and the shapley index are combined to construct the risk transmission coefficient and set the warning threshold.Commercial banks determine their mutual risk exposures according to their entropy-shapley index Of the maximum limit,and with the interbank credit limit and size limit indicators to achieve the purpose of reducing the degree of risk of infection.From the perspective of default infection between commercial banks and non-financial institutions,the impact model is used to calculate the default time interval and set the threshold.And from the same customer loan limit,UNPROFOR loans,group credit limit to prevent concentration risk of default infection.Then,the modified model of the concentration risk of default infection and the early warning index system are integrated.It inspects the applicability of the revised model in China and the consistency of the early warning index system of concentration risk of default infection based on China's financial structural characteristics with Basel III.Where there are not strong applicability or there is inconsistency,are the focus of this paper and the direction of future research.Finally,based on revision of the models and optimization of index system,in view of the concentration risk of default infection,from the external and internal supervision of the two levels of the bank,this paper puts forward the relevant policy recommendations from three aspects of "ex ante,in and after".