The Research On The Banking Systematic Risk In China Under Macroprudential Regulation

After the outbreak of the United State financial crisis in 2008, the vulnerability of financial institution was exposed thoroughly, and as a result, people increasingly put more emphasis on Macro-prudential regulation. People gradually realize the limitation of Micro-prudential regulation and that we should put more emphasis on Micro-prudential regulation in order to maintain the stability of financial system.As a result, numerous scholars initiate the research of Macro-prudential regulation, and in the efforts of scholar of domestic and abroad, the theoretical study of Macro-prudential regulation have made a huge progress. But the theoretical and practical studies which take the status quo of economy and development into consideration and that describe the way of how to put the theory into the practice in order to regulate the systematic risk are still deficient. Accordingly, it is practically significant for the whole financial system to establish a mechanism coping with banking systematic risk within the framework of macro-prudential regulation.This article is engaged in “put theory into practice” way of study. It discusses the principle of Macro-prudential regulation, and analyzes the transmission mechanism and procedure of banking systematic risk; it als o reviews national and international movement aiming to exploration and innovation in the field of Macro-prudential regulation, and in the field of the supervision of banking systematic risk. Based on the theory of banking systematic risk and Macro-prudential regulation, this article makes a more deeply achievement. The sources of systematic risk are wide and the reasons why it forms are complex, more simply, that is, the shock that the economy receives, together with the infectivity contributes to the syst ematic risk. Equipped with the trait such as infectivity, hard to identify and harmfulness, baking systematic risk utilizes the tunnel of inter-bank business, information transmission and shadow banking to spread, besides, the vulnerability of financial system and the homogeneity of the behaviors among financial entities exacerbate this conduction. Compared with Micro-prudential regulation, Macro-prudential regulation is more comprehensively, and it overcomes the shortcomings of the former. Macro-prudential regulation and Micro-prudential regulation are the unity of opposites.Based on the theory, and combined with the principle in practical operation of overall risk management and of 4R, this passage comes up with a pattern to supervise banking systematic risk that incorporates prevention in advance, monitoring when progressing and dealing with afterwards, which apply the essence of Macro-prudential regulation to the way of supervision. Additionally, this article conducts an empirical study, a study that contains early warning, assessment and disposition of the banking systematic risk, reflecting the phases of advance, going on and afterwards.The study of early warning in banking systematic risk. This article utilizes one of the three most classical early warming methods——KLR signal to discuss the level of domestic banking risk, and selects ten signals such as capital adequacy ratio, growth rate of GDP and market structure, etc, from Micro-Prudential indexes, Macro-prudential indexes and Market indexes to sup ervise domestic systematic risk, set up banking risk indexes and accomplish the early warming study of bank by comparing their with early warming indexes.The study of risk assessment in banking systematic risk. Using SES and considering the current situation, this article calculates the banking systematic risk in the time dimension and cross-section dimension. Available documents have committed a mistake of methods limitation. Unlike the limited methods and indexes of those documents, SES takes the ratio o f how much each bank can affect the risk of the whole banking system into account, not only making the ratio more persuasive, but also meeting two requirements that is distinguishing and assessing risk at the going-on stage.The study of disposition in banking systematic risk. This article builds a basic framework of disposition mechanism including main body, methods and tool, capital source, and disposition procedure, and forms a liquidation sequence applying to markov decision process(MDP) and at the sam e time considering the network among inter-bank markets. We can work out the optimal solution of this liquidation sequence using neuro-dynamic programming, which can minimize the risk, provide experience andadviceof how to cope with systematic risk to redu ce the damages that systematic risk would bring to the financial system and even to the whole economy.As the empirical results show that, the early warming, assessment and disposition of risk are feasible. As for the early warming, it is possible to ident ify the variation of the indexes, and moreover, to predict the tendency of banking systematic risk in the next decades by the means of monitoring the ten indexes from three dimensions including Micro-Prudential indexes, Macro-prudential indexes and Market indexes, and of building early warming model. As for the assessment, the outcomes of usingexpected loss model to calculate dynamic co-related coefficient, and of establishing dynamic co-related coefficient to reflect the state of banking systematic risk expectation indicate that the systematic risks among joint-stock commercial banks are in general higher than those among city commercial banks. As for disposition, constructing the liquidation sequence applying markov decision process(MDP), and using neuro-dynamic programming offer the optimal assistance to the lender of the last resort and minimize the loss along with the systematic risk.Our country should learn not only the experiences of how to control the banking systematic risk form the United State, t he United Kingdom, Japan, Brazil, Korea, etc, but also their reform and innovation in the aspect of Macro-prudential regulation. Of equal importance, we should spare no effort to improve the Macro-prudential regulation in banking, strengthen the supervisio n of systematically important banks(SIFI), and accelerate the procedure of building an efficient disposition. The urgency of strengthening the management in the framework of Macro-prudential regulation, and of combing theory with practice is around the co rner. In the future, we should focus on enhancing the management of domestic banking systematic risk, and additionally, building early warning system, and establishing explicit disposition mechanism.