A Study On The Evaluation Of Institutional Risk Contribution Of China 's Commercial Banks

Financial sector plays a very important role in the modern economy, a good functioning of the financial markets can promote economic growth, but at same time the financial markets’ s crisis which will be transmitted to the real economy, especially between financial globalization of financial institutions ties continue to strengthen ties and the next more complex background, the crisis is likely to be a single financial institution transfer to the same type of financial institution, or other types of relevant financial institutions, and even cause great harm to the financial institution, which causes disruption of the real economy.In the 2008 financial crisis, when some of the systemic risk of large financial institutions in crisis, the whole financial system brought further demonstrated. International financial regulatory organization proposed the concept of systemically important financial institutions, and the identification of systemically important institutions idea indicators to assess and strengthen the supervision of thinking. The core of the global financial regulatory reform is further reflected in the improvement of systemic risk prevention and establish and improve the macro-prudential management framework. Considers that the objectives of macro-prudential policy is to reduce systemic risk, its areas of concern is the overall financial system, which means that the use of prudential tools to measure systemic risk.In this paper, the conditions in the Va R method based on the use of state variables of time-varying risk simulation, using quantile regression techniques to China 16 listed commercial banks in the banking system and the contribution of risk of banking, insurance, other classes, three financial institutions listed on the overall contribution of systemic risk were assessed.Studies have shown that the level of risk contribution system is higher than the state-owned banks and joint-stock banks regional local banks, especially the Bank of China, is the highest contribution to systemic risk, in addition to banking financial institutions of systemic risk contribution of the highest insurance agencies in the middle level, the lowest level of risk to other classes of financial institutions system, while the system after the financial crisis, the overall level of risk of a downward trend. Banking, insurance, securities and financial institutions for the sensitivity of the state variables are quite different, where the stock volatility and real estate yields had significant effects on all three. This study is the importance of a high degree of recognition systems provide a basis for financial institutions, while providing empirical support for macro-prudential supervision.