Risk Measurement And Management Of China's Commercial Banks Based On Basel Agreement ?

The global financial and financial crisis caused by the subprime mortgage crisis of the United States in 2007 has brought great losses and blows to the world economy.The financial crisis can be intrpreted from many different levels,but the root cause is the lack of risk measurement and management.To cope with the crisis,in November 2008,China implemented a loose monetary policy,strengthen and accelerate the credit strength and speed,rapid credit growth under the condition of risks gradually gathers.Strengthen bank risk measurement and management,especially for the recognition and measurement,effectively control and reduce the credit risk of banks,which has become the focus of our government,the bank and the public in future.In September 12,2010,the international banking regulatory agency issued a new regulatory agreement,the Basel capital accord ?,which proposed more stringent capital and liquidity regulatory standards,and strengthened the importance of strengthening bank risk control.As a member of the Basel agreement,by 2017,China has begun to implement macro prudential supervision system,the full implementation of the "Basel capital accord ?" standard.Therefore,it is urgent to absorb the relevant content of the new agreement and analyze the impact of the new agreement on the risk management of China's commercial banks and how to adapt to the new agreement.Based on the "Basel Capital Accord" ? oriented,in the analysis of historical evolution and present situation,risk management of commercial banks in China based issues and regulatory policy,focus on commercial banks to strengthen risk analysis and management measures,strengthen risk management,some policy suggestions are given in the end of China's commercial banks.From the overall framework,this paper analyzes the problems related to the risk management of China's commercial banks,including 8 chapters,the logical connection between chapters and each chapter's specific content are as follows:The first chapter is the introduction part,this chapter focus on China's commercial banks which are facing the risk and risk management,based on that raises the research background of this thesis,and elaborates the research significance of this thesis.Then from the research ideas and research methods,I make a general introduction to the whole thesis.The second chapter sorts out the causes,classification and sources of various risks of commercial banks,which provides an important basis and focus for the study of this paper.The third chapter claims the different social environment,national policy and the international situation and other factors,the risk management of domestic commercial banks in different periods reflects a certain emphasis on differences.After the reform and opening up,China's financial gradually with international standards,commercial banks have gradually transition in the increasingly fierce competition environment,the progress of the development can be divided into three stages:the beginning of reform period?1979-1999?,WTO period?2000-2007?and the new Basel agreement period?since 2008?.Also,this paper introduces how China's government regulators and commercial banks to establish a sound risk management organization structure.The fourth chapter introduces the development process of the Basel agreement,and the commercial bank's risk management requirements continue to promote;analysis of China's commercial banks continue to progress in Basel under the agreement.Chapter four analyzes the basic content of the new capital accord,and expounds the risks gap between the present situation and requirements of the Basel Agreement Management of Commercial Bank of China,construction of Z-score model on the objective analysis of the implementation of China's commercial banks.The fifth chapter introduces an innovation and improvement of the VaR's calculation and application.Transfer the VaR to a g-VaR value interval by using the backward stochastic differential equation.The author also constructs the Shape ratio model,RAROC based on the exponential weighted average index model for the empirical analysis of the status of risk management of China's commercial banks.The advantages and disadvantages of the relevant measurement methods are summarized,put forward the direction for the next step of the optimization model.At the same time,the commercial bank risk measurement results analysis of the causes,to find a specific way to improve bank risk management methods,the formation of an effective risk measurement and management method.The sixth chapter elaborates the different supervision system in the new period of Chinese regulators on bank risk management requirements,the particularity of China's commercial bank risk management special supervision mechanism,as well as China's commercial bank risk management index system is reviewed,and analyzes the common and individual problems in the existing system.Finally,provide the theoretical preparation for policy recommendations.The seventh chapter is based on the KMV model,I select 20 listed companies in 5 industries?ST and non ST each 10?,calculate the probability of default by KMV model,analysis and compare the differences between ST companies and non ST companies credit default distance differences between different industries and different business scale.The study found out that the ST companies' average default distance was smaller than the non ST average default distance,and the second industry has the minimum average default distance.It proves that the KMV model has strong applicability in the actual operation of the bank's single credit risk measurement in China.The last chapter is the conclusion and the suggestion.The research results of this paper are mainly embodied in three aspects.First,through the combing of relevant knowledge,the current risk measurement and management system in China are analyzed in detail,and the existing problems and shortcomings are systematically summarized and summarized.The two is the theoretical innovation.Using the g expectation theory of backward stochastic differential equation,g-VaR is derived,and the past single VaR value is improved to a value interval[a₁,a₂],which greatly widens the scope and flexibility of VaR.The three is on the credit risk measurement,through the construction of the stock performance and ranking of different measurement models,and the theoretical study of the measurement methods of multiple measurement models,using the related data of China's listed banks,Z-score,index weighted moving average model,wind risk adjustment asset model and other models,to our country business.An empirical analysis of the status of the risk status of the Bank of industry.The potential innovations of this paper include the following three aspects:First,I use mathematical deduction to improve the research and innovation of VaR theory.Instead of taking VaR as a simple number,I use g-expectation theory to deduce and transform VaR into an interval of g-VaR values.As long as the g-VaR values calculated by commercial banks fall within the interval according to their own circumstances,one can consider it reasonable.Second,the quantitative analysis of the implementation of Basel Capital Accord based on the Z-score index model is conducted,and the analysis results are compared with the current economic operation and credit policy.Third,I use KMV model to measure the default rate of single loan in commercial banks.The study found that ST companies have greater possibility of default and higher financial risk.At the same time,there are some differences in the credit status of Listed Companies in different industries,and the change trend of credit quality of listed companies is consistent with the macroeconomic trend.Forth,I use the RAROC model to analyze the status of the overall risk management of commercial banks in China,and points out that the RAROC index is a reflection of the inherent unity of the development and risk control measure of banking business,providing a new and advanced risk management index system for commercial banks to scientific measurement and risk prevention,and puts forward the overall operation of commercial banks business proposal.The shortcomings of this article are as follows:First,although the range of the value of VaR is extended from one value to a range of value,it is undeniable that the author only gives mathematical deduction,but no empirical support,and the appropriate data should be selected for analysis and research in the future.Second,based on the KMV model,the number of selected Sample Firms is limited because of the restriction of the setting of sample selection conditions.It can not carry out extensive and in-depth research on all industries.Third,in the empirical study of RAROC and VaR of EWMA model,a calculation model is provided.The attenuation factor is fixed,and the optimization calculation of attenuation factor still needs further research and analysis.