Design And Analysis Of Systemic Risk Resistance Index Of China Banking Industry

In recent years,with the continuous growth of the scale of China's commercial banks,the correlation degree and complexity of commercial banks are increasing.Although the banking industry risk overall control,but the total amount and nature of the risks are constantly evolving,and presents some new characteristics,and the risk management of the banking industry has brought more serious and complex challenges.in order to meet the needs of the real development of the banking industry,it requires commercial banks to continuously improve the risk management awareness,and continuously improve the level of risk management;At the same time,the micro prudential supervision can not prevent systemic risk,it is difficult to monitor the rapid evolution of risk,it requires regulatory authorities to improve the timeliness for monitoring and prevention of systemic risk.Therefore,it is necessary to establish a systematic risk resistance index based on banking industry in order to analyze and monitor the risk and its change of the system,to strengthen the analysis,monitoring and prevention of systemic risk.Frist,according to the China Banking Regulatory Commission regulatory statistics,this paper designs a banking system of anti systemic risk inde x;Then,we determine project level and index layer weight by a questionnaire survey of the people's Bank of China,the experts of the CBRC,the commercial banks and the finance professors and Using analytic hierarchy process;Finally,this paper uses the ARMA model to predict the risk index of the system,and puts forward some suggestions,according to the analysis and forecast.The system risk resistance index reached its lowest value since the 20 quarter,which showed that the systematic risk of the bank ing industry is relatively high,and the systematic risk of the banking industry has a strong cyclical nature.As a result of the previous stage of the systematic risk accumulation degree is deep,combined with the forecast model,the banking industry's an ti systemic risk index will continue to decline.Based on the risk index and forecast analysis,this paper gives a systematic risk prevention recommendations,from the system of risk prevention,credit risk control,liquidity risk control,efficiency impro vement,capital management,market risk control six aspects.The systemic risk resistance index of the banking industry can reflect the risk of the banking industry in each quarter,the timeliness and sensitivity is higher,when the index is higher,according to the macro economic operation,credit expansion,the regulatory authorities can choose to reverse cycle capital buffer and improve the proportion of retained capital;Conversely,when the index is low,if the macroeconomic downturn,credit risk incre ased,the regulatory authorities can choose to release the reverse cycle of capital buffer,reducing the proportion of retained capital.The index can be used as a reference tool for the coordination of macro prudential supervision and micro prudential sup ervision.