A Study On Systemic Risk Of China's Commercial Banks Under Macroprudential Regulation Framework

At the end of the 20th century,with the continuous expansion and deepening of economic globalization,financial supervision all around the world has been loosened more than ever.On one hand it greatly increased the vitality and creativity of financial markets,on the other hand,systemic risk in financial and capital markets is quietly gathering.After the outbreak of global financial crisis in 2007,researchers began to realize that with the international cooperation becoming closer and global financial institutions becoming more connected ever,no individual economy is immune when facing global systemic risk.The rapid spread of systemic risk in the entire financial system caused by bankruptcy of an individual financial institution and the lack of regulatory measures in the face of the constant accumulation and dissemination of risk by international regulatory organizations have led policy makers to gradually discover that traditional micro-prudential regulations may be able to monitor the operating conditions of individual financial institutions,but in the face of systemic risk it won't be too much help.To fully prevent systemic risk,we must proceed with the perfection of the macro-prudential regulatory framework.Since first introduced in 1979.the term "macro-prudential regulation" has been more widely discussed and accepted in recent years.International organizations such as the G20 Summit,the Financial Stability Council(FSB)and the Basel International Bank for International Settlements(BIS)have been committed to advancing the macro-prudential regulatory system in recent years.The content and policies of the macro-prudential regulatory framework are also being improved.This thesis first reviews the introduction and development of the macro-prudential supervision framework,and expounds the main contents of the current macro-prudential supervision framework from both time dimension and cross-section dimension.Since macro-prudential supervision was introduced in the context that micro-prudential supervision is not enough to maintain the stability of the existing financial system,this thesis also introduces the similarities and differences between these two regulation perspectives from direct purpose,ultimate goal,risk model,institutional relevance,policy development and policy focus.In this massive financial tsunami,those famous large financial institutions were not "financial stabilizer",but manufacturers and distribution center of systemic risk."Too Big to Fail"(TBTF)and the "Too Interconnected to Fail"(TITF)characteristics of large financial institutions become new unstable factors that affect the healthy functioning of the financial system.Researchers who were committed to solving the cyclical nature of the financial system from the time dimension now turn their attention to the distribution of systemic risk in the cross-sectional dimension,the calculation of systemic risk and the identification of systemic important financial institutions have become a new hot spot.This thesis reviews the different definitions of Systemic Risk and Systemically Important Financial Institutions at first,and then introduces the supervisory policies put forward in recent years by domestic and foreign regulators.As for systemic risk assessment,this paper classifies the current mainstream systematic risk quantitative assessment methods,and compares the merits of these methods from the angles of risk dimension and data requirement.This thesis also examines the systemic risk distribution of China's 16 listed commercial banks totally based on open market data,using conditional value at risk model(CoVaR)and component expected shortfall model(CES).The results show that Construction Bank,Industrial and Commercial Bank,Agricultural Bank of China and Bank of China are in the first group,and most of the systemic risk is gathered in a small number of financial institutions.Hence,if the policy makers are able to ensure the good performance of these banks,the whole banking system will be ensured to function well to a great extent.In addition,the domestic systemic important bank list remain stable and will not change too much over time,which means regulators don't have to change their policies too frequently.This thesis further analyzes the influencing factors of the systemic risk of China's commercial banks.The results show that bank size,market-to-book ratio,nonperforming loans and whether it is systemic important bank are positively related to systemic risk,and non-interest income and leverage are negatively related.