Research On Systemic Risk Assessment Of Commercial Bank Based On CoES Model

This article is based on Co ES method proposed by Adrian and Brunnermeier(2016),draw lessons from Li Zheng(2019),such as improvements to this method,fully considering the system risk thick tail,asymmetric characteristics such as cases,the industrial and commercial bank of China,for example,through the establishment of ARMA model-EGARCH model,using Δ Co ESL indicators to measure the systematic risk contribution,with standardized index % Δ Co ESL importance of 16 listed bank system.Importance results show that large state-owned commercial bank system is generally stronger than joint-stock commercial Banks and city commercial Banks,including industrial and commercial bank of the importance of system for the test sample in the strongest,the industrial and commercial bank of systemic risk,the largest contribution to the importance and the joint-stock commercial Banks in the system of China Citic Bank,the strongest city businesses of the highest importance of Banks is in Bank of Beijing.In addition,this article is to explore the influence factors of systematic risk contribution,through literature review,the introduction of the GDP growth rate,term spreads,M2 growth rate,foreign investment dependence,foreign trade dependence five macro impact factors,as well as market size,financial leverage,liquidity,profitability and asset quality individuals are five factors,and to 16 listed Banks in 2011-2018 quarterly data panel regression analysis.By analyzing the regression results,the following conclusions can be drawn:There is a significant relationship between the system risk contribution of the banking industry and maturity spread,M2 growth rate,foreign investment dependence,market capitalization,financial leverage,liquidity,profitability and asset quality.When term spreads widen,the contribution of risk to the banking system will increase.The faster M2 growth,the easier it is for Banks to take risks.Higher dependence on foreign investment will be conducive to risk dispersion and isolation,thus reducing the spillover effect of systemic risks.Moreover,an increase in the size of individual Banks’ market capitalisation does contribute to a rise in the systemic risk contribution,the "too big to fail" phenomenon.Its financial leverage is high or the asset quality is low will cause the risk accumulation.When its profit level rises,it is more favorable to resist the impact of internal and external shocks and reduce the spillover effect of external risks.In particular,excessive liquidity may not be conducive to reducing the risk of the system.On the contrary,it will lead to a decrease in the efficiency of capital utilization,a decrease in profitability,and an increase in its external risk contribution.According to the relationship revealed in the conclusion part,this paper believes that it is really necessary to continue to improve the system importance evaluation system,and to prevent risks in advance by building an early warning system with multiple methods to verify each other.In addition,we should pay close attention to the domestic and foreign macroeconomic performance and policy implementation to prevent the outbreak of financial risks.In addition,in the process of preventing systemic risks,in addition to continuing to implement a comprehensive risk management framework and implementing macro-prudential policies for counter-cyclical intervention.In the traditional micro-prudential regulation,differentiated regulation should be paid more attention in the future,but excessive regulation should also be prevented from hindering institutions’ profit-making and innovation activities.