The Default Risk Measurement Of Listed Banks In China

With Chinese economic development showing new features,the driving force of economic development is gradually changing,and the macroeconomic structure is facing deep adjustment.The traditional business operation and supervision mode of financial industry is constantly changing to adapt to the new financial environment.Taking the banking industry as an example,in the background of interest rate marketization,the profit space of the traditional main business,such as deposit and loan business,is continuously compressed,and the development mode of the individual of the bank needs to be further developed to maintain its core competitiveness.Banks have adjusted their old business structure and explored new profit and development mode under the impetus of financial technology.The change of business structure will inevitably bring about the change of risk structure.In order to ensure the stable operation of the whole banking system,it is very important to measure the systemic risk of the whole banking industry in a scientific and timely manner.Based on the balance sheet data of the listed banks and the stock market information,this paper analyzes the overall risk status of the listed banks by Systemic Contingent Claims Analysis(SCCA).The systematic or equity analysis method is the expansion and application of CCA in a number of institutions,combining the risk indicators of a single institution by combining the extreme value distribution theory with the Copula function to measure the overall joint risk situation,so as to measure the risk status of the risk dependent structure and the industry as a whole.Different from COVAR and SRISK,systematic risk measurement methods only pay attention to the correlation of tail loss.It is used to find systematic importance financial institutions.The concern of risk dependent structure can describe the nonlinear correlation of institutions in the industry more accurately,and describe the evolution mechanism of systemic risk.This article uses the SCCA method to analyze the risk status of 14 listed banks in China,determine the overall joint default probability and default loss,and investigate the contribution of different bank groups to systemic risk according to the nature of the bank.It is believed that the systemic risk of our banking industry is mainly provided by the shareholding system.According to the systemic risk situation in the industry and the macro policy environment of the historical similar period,it provides more reasonable suggestions for the future risk regulation and risk change.