Research On Systematic Risk Assessment And Prevention Of Commercial Banks

With the occurrence of the US subprime mortgage crisis,European sovereign debt crisis,and global economic weakness,issues related to systemic risks have become the focus of scholars' attention.The report of the Nineteenth National Congress of the Communist Party of China pointed out:"It is necessary to improve the financial supervision system and keep the bottom line from the occurrence of systemic risks;preventing and resolving systemic risks is the primary mission of financial supervision." China and even the global financial system are facing systemic risk shocks The test of commercial banks is the core of China's financial system.The risks faced by the commercial banking system have increased and gradually emerged.If they are not regulated and allowed to develop,they will lead to potential systemic risks.Therefore,whether there are systemic risks in commercial banks in my country,how to evaluate and how to prevent them have become important issues to be resolved.In theory,the financial instability,systemic risk in commercial bank credit vulnerability or policy adjustment,the endogenous factors such as macroeconomic fluctuations,perfect regulation system caused by external factors,such as,within the system time,space,two-dimensional point of evolution.and development,accumulated to a certain extent,an external event may be the trigger for the outbreak of systemic risk,systemic risk erupts,upgrade to do the quantitative change to qualitative change;Systemic risk has such attributes as relevance,negative externality,infectivity,spatiotemporal and two-dimensional development and endogeneity.Systemic risk spreads and spreads through the inter-institutional linkage network,and at the same time,it will cause financial dysfunction,market panic spread and eventually cause severe damage to the macro economy.Furthermore,the Co VaR method of quantile regression was used to measure the risk of 16 representative commercial Banks,and it was found that during the period from 2010 to 2019,the five state-owned Banks had the highest systemic risk to the whole bank,the four major Banks in the construction industry and agriculture were all above 0.8,followed by the urban Banks whose contribution coefficient of systemic risk was above 0.7.As use delta Co VaR characterization of contribution to systemic risk in commercial bank,and as the delta CoVaR quarterly average as proxy variable of systemic risk on the bank,bank scale,the total return on assets,leverage,non-interest income proportion,deposit proportion as factors influencing the systemic risks of commercial Banks,the study found that systemic risk of commercial bank were significantly associated with total return on assets,its size;Then,establishes the central bank(the government),commercial Banks,the game model between enterprises,found that bank of soft budget constraint is the central bank(the government)and bank to pursue profit maximization of dynamic game equilibrium,the equilibrium in the short term,digestion,to avoid systemic risk in commercial bank financial crisis,but in the long run,the entire financial system to form this kind of soft budget constraint "path dependence",lead to integrity of commercial bank credit expansion,has high leverage and asset bubbles,can cause systemic risks and crises in the long term.Finally,according to the systemic risk generation mechanism and evolution mechanism of commercial banks,the following countermeasures are put forward for systemic risk prevention of Chinese commercial banks:at the government level,improving the macro-prudential management system,deepening the counter-cyclical adjustment mechanism,and deepening the financial supply-side structural reform and improvement.The level of financial products and services,steadily promote the reform of the financial supervision system and improve the construction of financial safety networks;at the financial market level,implement the scope of supervision,compact supervision responsibilities,monitor the network closely,optimize supervision methods,improve the top-level design of bankruptcy disposal,and improve the disposal of problem institutions Mechanism;at the level of commercial banks,adhere to differentiated development among banks,improve business operation capabilities,effectively strengthen the bank's internal control construction,deepen the reform of risk management systems,improve the modern financial enterprise system,and improve the corporate legal person governance structure.