Research On Systemic Risk Contribution Degree Of Financial Institutions In China

With China's financial innovation which main form is shadow banking business continuous deepening,the financial market is continuing to develop,but the extreme crisis as shortage of money,stock market crash and asset shortage exposed the huge risk behind.In order to prevent systemic risk and implement targeted regulatory policy,it is particularly important to measure the contribution degree to systemic risk of various financial institutions accurately.Based on this,the Copula Extreme Value Theory was introduced into the market model and network analysis method,in the EVT market model,using qualitative method of Copula EVT to calculate the probability of financial institutions' risk associated with the overall financial market directly;in the EVT network analysis method,using quantitative method of Copula EVT to calculate the of financial institutions' degree of risk correlation with other institutions in the network.The calculation results are explained by cross section and dynamic level,and the influencing factors of financial institutions' contribution degree to system risk is analyzed by panel econometric method.The results of cross sectional level show that,in commercial banks,the order of contribution degree to systemic risk from high to low is city commercial banks,joint-stock commercial banks and large state-owned banks.In the non bank financial institutions,insurance companies' contribution degree to systemic risk is the lowest.When calculating with the EVT market model,the securities company' contribution degree to systemic risk is the highest.When calculating with the EVT network analysis method,the trust company' contribution degree to systemic risk is the highest.The results of dynamic level show that,during the period of extreme crisis,China's commercial banks have higher contribution degree to systemic risk.Dynamic change of China's non bank financial institutions' risk correlation in the network has a close relationship between dynamic change of their business model and the investment strategy.And the change of securities company'extreme crisis probability has a high consistency with stock market cycle.Panel econometric analysis shows that China's shadow banking scale of financial institutions has significant positive impact on contribution degree to systemic risk,and asset size,leverage ratio have significant negative and positive effects.The rates of non-performing loans and capital adequacy have significant positive and negative effects to commercial bank' contribution degree to systemic risk.In order to prevent systemic risk,we put forward the policy suggestions based on the empirical results:People's Bank of China,China Banking Regulatory Commission,China Securities Regulatory Commission and China Insurance Regulatory Commission should strengthen consistency of supervision,make efforts to eliminate regulatory arbitrage,while strengthening the supervision to off balance sheet business of shadow banking.Commercial banks should strengthen the credit rating of loans,to reduce the rate of non-performing loans.Insurance companies should continue to stable operate,and control investing to non-standard assets investment.Securities companies should promote business diversification,to reduce the dependency of stock market.Trust companies should control the scale of interbank business and channel business,to reduce the risk association degree with other agencies.