The Assessment And Infectious Risk Analysis Of Chinese Systemically Important Banks

During the financial crisis, with the communication and spreading of the risk from problems of many large financial institutions, cause a series of chain reaction to other financial institutions. This domino effect, lead to the financial system a wide range of disasters. In order to maintain the international and national financial security, systemically important financial institutions are more and more caused people’s attention. International organizations and countries have strengthened the supervision on systemically important financial institutions, mounted a series of measures to carry out effective supervision on systemically important financial institutions. In response to international financial organizations, beginning in2011, our country also increased supervision of systemically important banks, But because of the complexity and particularity of the banking system in China, so far, there is still no a set of exact evaluation method of systemically important banks in China, it also caused a certain influence to our country’s supervision.This paper starting from the reality of our country, based on the assessment method of global systemically important Banks published by the Basel Committee on Banking Supervision in November2011and the evaluation principles of domestic systemically important banks, designed the evaluation index system of systemically important banks in our country. And based on the data of16listed Banks in China in2011, evaluated the systemic importance of our country’s bank system, selected ICBC, BOC, CCB, ABC, BC, CIB and CTTIC Bank as systemically important banks in our country. Then from the perspective of capital market, use the tail correlation coefficient as the indicators of measuring risk contagious, calculate the risk contagion of several Chinese systemically important banks to other banks using Copulas connect function, further highlight the important position of systemically important banks in bank system and even the whole financial system. At last, according to the regulatory measures of European and American countries for systemically important banks, by drawing from advanced experience and combining with the reality of our country, put forward policy suggestions for supervision of systemically important banks in China.