Research On The Influencing Factors Of The Bank's Market Risk Exposure In China

Bank's market risk has always been the focus of attention of regulatory authorities and academia.Especially since the financial crisis in 2008,the problem of bank's risk exposure that will affect financial stability has been paid more attention by scholars,and the new regulatory policy calls for a re-examination of the strategies and effects of bank market risk management.Under the current risk management system,what is the impact of the risk exposure on the bank itself and the financial environment should be paid attention to.In this paper,the FIRE model is used to extract the market risk exposure of the bank;Then by analyzing the relationship between the market risk exposing related subjects,and combining the research literature,the main factors that affect the market risk exposure are determined,and the possible effects are explained in economics;Finally,the linear regression model and the PSTR are used to test the specific relationship between risk exposure and influencing factors;this paper analyzes the influence of risk exposure adjustment on the bank's own risk management and investment profitability and financial stability.The main conclusions of the article are:(1)Mainland banks and Hong Kong banks generally display their risk management objectives in the process of adjusting market risk exposures.They are negatively correlated with the volatility factor and reversely adjust the size of the risk exposure according to market risk so as to stabilize and control their VaR.(2)Banks in both places have a non-linear effect on risk exposure adjustment strategies.HK banks have displayed an asymmetrical adjustment mechanism and are more tolerant of the increase of volatility than tolerant of the volatility reduction.However,mainland banks show the adjustment mechanism of symmetry.(3)Under the long-term perspective,banks in both places generally do not show the profitable investment characteristics in the linear model.The main reason is that the mechanism of the effect of the rate of return on market risk exposure is complex,and the marginal effect shows an inverted U-shaped structure that varies with the volatility.When the market risk is moderate,banks adjust their positions significantly in response to changes in market conditions in order to obtain investment income.This reflects the bank's investment profitability taking into account the risk management requirements.The difference between the marginal effects of extreme points,reflecting the two banks to implement different investment profit strategy.(4)Due to the differences in risk management and investment strategies and the different market risk characteristics,banks in both regions also showed different effects on the problem of financial stability.Mainland banks use reverse strategy,with the impact of buffer market impact.HK banks have played a stabilizing role in the financial markets through the use of heterogeneous strategies in interest rate and equity markets.The concerted action strategies in the foreign exchange market,which are positively related to changes in other bank positions,amplify market volatility and cause financial instability.In order to promote the healthy development of Chinese banking sector and improve the stability of the financial system,the article provides a reference for policy making in improving the risk management of the mainland banks and the regulator's policy formulation by combining the similarities and differences between the mainland banks and the HK banks in market risk exposure.