The Influence Of Market Risk Factors On The Risk Taking Of Commercial Banks

At present,China's commercial Banks are playing an increasingly important role in the development of the national economy.With the slowdown of China's economic growth,commercial banks are gradually developing towards diversification,and the problem of risk exposure is also increasing.In the context of the deteriorating risk situation of commercial Banks,the overall level of risk taking is also gradually decreasing.This paper firstly summarized the impact of interest rate,stock,credit spread and other factors on the risk assumption of commercial Banks according to the definition of market risk in the latest Basel capital accord,the influence of exchange rate,and then the EDF value measured by KMV model is used as the judgment index of the risk bearing ability of commercial banks.As can be seen from the measurement results,EDF values of the 16 listed commercial banks in China from 2010 to 2018 are all at a low level with strong risk bearing capacity.Although the fluctuation is obvious and the peak value is close to each other for the influence of macroeconomic environment,the fluctuation range and the time falling back after impact of each bank are quite different.Through observation,it can be found that these differences are closely related to the asset size and equity nature of banks.Then the rank correlation coefficient of market risk factors on the risk bearing capacity of commercial Banks is calculated according to the five different types of Copula function.The results show that under normal circumstances,the decline of interest rate,the expansion of credit spread and the fluctuation of stock price will reduce the risk bearing capacity of commercial Banks,while the impact of exchange rate on the risk bearing capacity of commercial Banks varies.In extreme cases,when the interest rate,stock price and credit spread rise sharply and the exchange rate drops sharply,the risk bearing capacity of commercial Banks also drops rapidly.Besides,stock price volatility has the greatest influence over the risk-taking of commercial banks,followed by interest rates,exchange rates,and credit spread factors.From the bank's individual perspective,it can be found that Bank of China and China Everbright Bank are most affected by the fluctuations of interest rates,stock prices and credit spreads.