Study On Commercial Bank’s Systemic Risk

Systemic risk has always been a key issue in the field of financial stability. Globalfinancial crisis occurred in2008tells us the simple micro prudential supervision on afinancial institution can’t adapt the complex financial and economic society any more,and an effective macro prudential supervision on financial institution systemic risk isrequired urgently. But, all it must depend on the correct recognitions. Hence, measurefinancial institutions’ systemic risk successfully is rather vital and important. Therefore,our paper devotes itself to work and study it, also some related issues. First, based onCoVaR measure by introducing state variables that capture the evolution of tail riskdependence over time and calculating growth rates of marketed-valued total financialassets, the paper obtains a successful analysis on systemic risk of commercial banks.Moreover, it analyzes how the lagged banks characteristics impact systemic risk relied onforward-looking C oVaR, a countercyclical risk measure. And find out the bank’s VaR,leverage ratio and market-to-book equity ratio have significant influence on it. This studygives some help to the supervisors for macro prudential regulation of banks systemic riskfrom the countercyclical buffer prospect. Second, the paper analyzes bank size how toaffect the bank systemic risk from theoretical and empirical perspectives. By looseningthe hypothesis about bank’s scale level, the paper develops an improved three-bank modelto analyze the relation between the size of a bank and its systemic risk, which is moregeneral and more operational. By introducing L function based on Multivariate ExtremeTheory and three indexes of banking systemic risk, the paper analyzes the impact of sizeon bank’s systemic risk and finds that the size of banks is the necessary condition of thesystemic risk, but not the sufficient condition. In addition, we have conducted anempirical analysis by examining the relationship, and the results enhance the modelconclusion. It is theoretical and practical significance for the recognition and supervisionof banks’ systemic risk. The last, some advices for macro prudential supervision oncommercial banks of our nation are provided also.