Measurement Model Revision And Early Warning Index System Construction Of Name Credit Concentration Risk Based On Basel Ⅲ

Historical experience shows that name credit concentration risk is an important reason for the banking crisis.Under the background of the reform of China’s economy and special financial structure characteristics,the pressure of centralized risk management of credit is intensified.Therefore,it is urgent to strengthen the research on name credit concentration of commercial banks in China.However,the current domestic research is still in the qualitative analysis stage.In view of this,this article from the theoretical and practical aspects of name credit concentration risk research to build with the BaselIII regulatory framework consistent with name credit concentration risk measurement model and early warning index system,aimed at improving the credit risk management ability and early warning ability of China’s commercial banks,as well as provide some reference.In the aspect of theory,this paper focuses on the model of credit concentration risk based on the Basel III framework,which is more prominent in our country.It is assumed that the three types of centralized risks exist at the same time.In this paper,Based on the CreditRisk+ model and the multi-factor expansion model,the system risk factor of the borrower ’s default probability and the system risk is established,and the ASRF model is modified by the decentralization method.Secondly,according to the lack of regulatory basis for name credit concentration which is not clear about the effect of the operation and management of commercial banks.At the empirical level,the panel threshold model is used to name credit concentration risk to the commercial banks.The empirical results show that there is a “~” correlation between them,and the model has two thresholds: 13.11% and 30.57%.There is a threshold of26.86% for the “V” correlation between them.On the whole point of view,when the concentration of credit is 13.11%-26.86%,the increase of the concentration of credit will increase the risk of bank operation.When the concentration is more than 30.57%,it is not conducive to the stability of bank operation.50% of the regulatory standards will increase the risk of bank operations.Then,according to the current situation of lack information and comprehensive information,the article uses the Markowitz mean-variance model to construct the macro index of 19 indicators in different industries,regions and industries at the practical level Level warning index system,and use the empirical results to supplement and optimize the early warning indicators of the head office and the second branch branch,and construct themicro-level early warning index system with 20 indicators,from the initial four indicators to 39 indicators Macro and micro integration of early warning index system.Finally,the article on the basis of the previous study,for the macro level of financial supervision and micro-level commercial banks to make recommendations for reference.