| After the global financial crisis,the management of the financial institutions gradually appeared a variety of disadvantages.Because the mixed management model is becoming more and more thorough,and there are complex business transactions in the financial industry,the spillover effects will be stronger after the financial crisis.The crisis of financial institutions at the same time also can cause a wide range of social problems,therefore,in order to put an end to these problems from the source,and maintain financial stability.our country must deal with identification,assessment and supervision of these financial institutions.The definition of systemic risk,identification method of systemically important financial institutions will be discussed in this article.In addition,this article will also deeply analyze the methods of recognition systemically important financial institutions.In the empirical part,we adopt the CES model to quantify the risk contribution of 16 listed Banks in our country by estimating the historical data and predicting the future risk which based on the monte carlo method.We can get the following conclusions: 1)CES method is a more comprehensive measure risk method relative to the VaR and MES method.It satisfies the property of additivity.At the same time,it takes into account the scale factort.2)ICBC,BOC,CCB and ABC are the top four systemically important financial institutions respectively.They are the big four state-owned Banks,and their systematic risk contribution is more than 50%.We can regard as the systemically important financial institutions.3)Scale is an key factor to affect the systematic risk contribution in our country,but the results show that the other factors also cannot ignore.4)The monte carlo simulation method can predict the future systematic risk contribution effectively,but the method relies on the historical data,so there are some weaknesses,and the extreme cases cannot be accurately predicted. |
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