The Measurements And Precautions Of Systemic Risk Based On The Industrial And Commercial Bank Of China Limited

Since the 2008 financial crisis,the global credit crunch has intensified the instability of the financial market.In recent years,influenced by the multilateral trade friction and the impact of COVID-19,financial systemic risk has been increasingly concerned.Chinese leaders are deeply aware that the stability of the financial system plays an important role in the development of the national economy and must always pay attention to preventing and resolving systemic financial risks.At present,China’s economy is in-depth global cooperation and the environment is complex and diverse.It is facing multiple pressures from western countries and the United States to suppress our economy and the global epidemic.After the outbreak of the epidemic,China’s economy has recovered rapidly.Under the conditions embedded in the global economy,how to prevent and resolve systemic risks in trade frictions has always been a challenge perplexing us.Through the relevant literature review at home and abroad,this thesis details the advantages and disadvantages of various systematic risk measurement models,combined with the current research status of systematic risk measurement and supervision.This thesis mainly selects industrial and Commercial Bank of China as the research object and introduces ΔBased on the previous research results,the Covar measurement model calculates Va R,CovarΔ Covar model and% Δ Covar model and risk measurement model measure the systemic risk of "industrial and Commercial Bank of China",a global systemically important bank.Identify and demonstrate the existing models,so as to further understand the systemic risk of industrial and Commercial Bank of China,and put forward data support for risk prevention.This thesis makes an empirical study on the influencing factors of systemic risk by selecting financial indicators,risk indicators and macroeconomic indicators.The results show that: first,the leverage ratio is directly proportional to the market risk of financial institutions,indicating that the higher the leverage ratio(the more liabilities),the greater the market risk of financial institutions;Second,the company size is directly inversely proportional to the contribution of systemic risk,indicating that the larger the bank size is,the smaller the spillover effect of systemic risk is.Therefore,when conducting financial supervision,we should focus on preventing banks with high leverage and small scale;Third,the higher the rate of return on total assets,the greater the spillover effect of systemic risk of financial institutions,which shows that high return is often accompanied by high risk;Fourth,there is a significant negative correlation between the bank’s own var level and the spillover effect of the banking system,which shows that the risk of a single bank plays an important role in the measurement of systemic risk.In the supervision,the micro level prudential supervision of a single bank also has a significant effect on controlling the overall market risk;Fifth,the growth rate of GDP and Δ Covar is inversely proportional,indicating that the better the macro economy is,the lower the spillover effect of systemic risk in the banking industry is.On this basis,aiming at the prevention and resolution of systemic risks of industrial and Commercial Bank of China,this thesis puts forward five expansive policy suggestions: first,slow down the deleveraging speed;Second,steadily increase the scale of assets;Third,actively improve profitability;Fourth,comprehensively measure and control the systematic risk of the industry;Fifth,actively promote steady economic growth.