The Factors Of Marginal Contribution To System Risk Form Listed Banks In China

In view of the thinking on 2008 financial crisis,both academics and other substantive departments have focused more on thinking risk from the angle of the entire system.Regulatory authorities across countries have begun to increase the regulation from the viewpoint of system risk;and for banks,as the core of the entire economic system,it is particularly significant to well judge and control the risk contribution of the banking system.In China,the economic structure adjustment and reform has become one of the important strategies for the sustainable development of our country's economy.Due to that currently efforts on cutting excessive industrial capacity and de-leveraging have been constantly enhanced,China's overall economic development is temporarily suffering the downward pressure.With the continuous advancement of interest rate market reform and financial liberalization,China's banking industry has also experienced constant development and change.Meanwhile,considering that the ineffective systemic risk regulation is an important reason for the outbreak of 2008 financial crisis,in the current special economic times,We should pay close attention to the changes in the banking system risk contribution,to find the indicators that greatly influence the banking system risk contribution,and to continuously and dynamically monitor the degree of the banking system risk contribution.Targeted at these issues,this paper draws on the MES method proposed by Acharya et al.(2010),based on the market data,to calculate each bank's marginal expected shortfall(MES)used to measure the size of each bank's contribution to the system risk.In this paper,after considering the economic and financial environment and bank management characteristics,based on referring to the existing literature,it sets factors selection principle to choose six factors that are considered significant for the system risk contribution,and meanwhile,it conducts empirical analysis through the method of panel data regression and regression coefficient standardized processing.The results showed that the bank's asset size,leverage ratio(LEVERAGE),return on assets(ROA)have significant negative effects on system risk contributions,and loan concentration of customers(CHI)also have negative but not significant effects on the bank system risk contributions.Bank's non-performing loan ratio(NPL)and interest income share(PII)have a significant positive impact on the risk contribution of the system.Also through the comparison of standardized regression coefficients,in finds that in the current economic environment,among all these factors,the three major factors that affect the contribution of the banking system are asset size(SIZE),leverage ratio(LEVERAGE)and non-performing loan ratio(NPL).