Reserch On The Systemic Risk Measurement Framework Of China's Commercial Banks

Since the international financial crisis,it has reached a consensus on controlling systemic risks in the financial sector and preventing systemic risks of commercial banks both in the world and in the context of our government.The premise for controlling and preventing systematic risk is above all an accurate measure of systemic risk.To accurately measure systemic risk,Ma Junlu and Fan Xiaoyun(2007)analyzed the contagious degree of banks under different losses based on bank balance sheet data.Based on the paper,this paper makes the loss due to the risk including the operate risk be the initial impact.The risk transmission pathway of model is the inter-bank market.At the same time,this model is used to measure the degree of importance of the system of listed banks in our country and to build an index to measure the systematic risk in our country based on the data of bank assets and liabilities.Specific conclusions are as follows:Firstly,the market risk and credit risk of our country in the present stage may cause a bank to fail,but it will not harm the entire banking system.Secondly,operational risk is an important source of systemic risk in the banking system.If the operation risk takes a high loss,Infectious bankruptcy may be happened.Thirdly,The risk which banks face in the real world is higher than that calculated by the book value,and when we consider the situation of asset impairment,the system loss would be bigger than not.Fourthly,through the construction of CBI and other indicators,systemically important banks of China are Industrial and Commercial Bank of China(ICBC),Bank of China,China Everbright Bank,Bank of Communications,and Agricultural Bank of China.The last,the model of this paper is used to measure the systemic risk of commercial banks in our country.The research shows that the probability of contagious bankruptcy in China's banking system is 0.002,and the loss of asset is not big.Finally,according to the probability and loss of inter-bank assets,this paper builds a systematic risk index named as the proportion of expected loss of inter-bank assets.