The Research On Systemic Risk Metrics Of Commercial Bank In China Based On Matrix Method

The system of modern commercial bank is made up of some different banks, which creates, transmits, distributes, derives capital and information. Compared to other business, there is a more complicated relation of credit and information in bank business. It is proved that the complicated relation makes risk be contagious between banks, and the state maybe create a false impression to national economy if out of control. The category of this dissertation is the condition that a single bank or many banks defeat to the serious ruin of the whole bank system financial function: systemic risk of banks.Finance is the heart of national economy, which transmits blood for the stabilization of economy. Financial innovation and the development of IT brings out tremendous efficiency, but they also cause a great many systemic risk in financial market. How to measure systemic risk of banks is very important to China whose financial system is composed of banks. To far more, how to precautions against systemic risk of banks is the key role to ensure financial market make the promotion yield well to national economy.The dissertation is on base of achievements in scientific research summed up by our predecessors. First, The dissertation gives a common theoretical analyze to systemic risk of banks. It summarizes that systemic risk of banks possesses these features: infectiousness, dissymmetric of risk and profit, communication with the confidence of investor, negative externalist, and the infectiousness is the most intrinsic feature on base of differentia of system risk and systemic risk, banking supervision and systemic risk of banks, narrow and broad sense of systemic risk of banks. Then it analyses the causes of systemic risk of bank. Second, this dissertation presents and compares with the three measuring methods of systemic risk, including: method of index-variable, method of data-simulate and method of exposure-estimate. To further more, it emphatically sets forth a typical method of exposure-estimate——matrix method including basic principle,measuring order and its superiority of applying in China. To be follew, this dissertation gives a empirical analysis to systemic risk of China According to the same industry transaction data of China's 12 major banks by mathematical tool of Lingo and Matlab, and this dissertation achieves the simulation result of systemic risk contagious caused by differend bank ruin in different levels of loss, at the same time the conclusion is also obtained that Small and medium-sized joint-stock banks are more apt to be contaged than BC, CBC, ICBC, ABC. In final,this dissertation sends some political suggestions to reduce systemic risk of China, such as Strengthening basical system of the banking system, enhance capacity against Unexpected financial capacity incident, coordinating macroeconomic policy relations.