The Construction And Empirical Reasearch Of China's Banking Dynamic Provisining Model Under The Macro-prudentical Framework

Since the international financial crisis in 2008,the academic circles,the financial industry and the regulatory authorities all over the world have deeply reflected on the current economic regulatory theories and policy adjustment tools,and generally chose to introduce "macroprudential policy" to achieve the policy goal of "financial stability".Dynamic provisioning system is a counter-cyclical adjustment tool in macro-prudential adjustment framework widely used in the world,which is very important for the stability and development of China's economy and finance.In this paper,the binary Gaussian Copula function is used to combine the measurement method of the default distance in the CCA model with the risk warning idea based on the Probit model,and proposes the CCA-Probit-Copula dynamic provision model based on nine forward-looking indicators.The model proposed in this paper avoids the problems such as short statistical period of the long-term loan loss rate and other indicators and incomplete periodicity of historical data,which is prevalent in China's commercial banking industry.And compared with the current dynamic provision model in the world,this paper excludes subjective judgment factors and effectively reduces the possibility of commercial banks making provision adjustments based solely on smooth profits rather than covering future loan losses.In addition,the dynamic provisioning scheme in this paper will not hide the real risk level of commercial bank assets in the current period,and avoid conflicts with the current accounting principles.The results show that China's commercial banks are affected by macro periodic factor,but the losses caused by systemic risk shocks of different commercial banks are different.The application of this model can meet the matching dynamic provision requirement according to the influence degree of macro-cyclical factors to different commercial banks' own default risk,which not only takes into account the security and liquidity of commercial banks,but also ensures the profitability and competitiveness of commercial banks.Finally,this paper brings the dynamic provision model built into the historical data for backtesting.The dynamic provision ratio can accurately predict the future change of commercial bank default risk due to the cyclical change of systemic risk.The risk forward-looking mechanism included in the model has a high degree of fitting of the forecast of the overall risk level of commercial banks with the actual risk level,and can effectively guide the operation of dynamic provision requirements.By taking into account the dynamic provision rate,the loan provision rate of our commercial banks is flexible and can have a good response ability to the changes of systemic risk,so as to realize the policy objective of counter-cyclical adjustment under the macroprudential framework.