Chinese Systemically Important Banks Measurement And Influence Factors Analysis Under Basel Ⅲ Perspective

Since the outbreak of the subprime crisis,"systemically important financial institutions","too big to fail" and "too connected to fail" get the extensive concern of international organizations, national regulatory authorities and academia, becoming an important content of international financial regulatory reform. Basel Ⅲ stresses that systemically important financial institutions should have higher risk absorption capacity than the regulatory standards require, and have the need to impose more stringent control including additional capital requirements, liquidity requirements, leverage ratio requirements, and special disposal measures. On May3,2011, China Banking Regulatory Commission issued "Guidance of the Implementation of the New China Banking Regulatory Standards". The guidance requires systemically important banks meeting1%additional capital to ensure their security and stability. Up to now, there is no common methodology of how to judge a systemically important bank is. The systemically important banks play a key role in the financial markets, and scientific measurement methodology is critical to enhance the robustness of our financial system and protect national real economic.At present, CBRC have used size indictor to assume top five banks as systemically important banks requiring higher capital adequacy ratio mainly based on the previous regulatory experience. But in fact, the systemic linkages between banks in finance system exist. Considering interbank network may influence listed commercial banks’systemic importance, we develop a measure of systemic importance that gauges the contribution of interconnected banks to systemic risk based on Shapley values at the foundation of Tarashev(2010), then calculate the systemic importance of16Chinese listed commercial banks for2010to2012, and compare the results between the integrated measure model and Shapley value method. An empirical implementation of our measure reveals that ignore the interbank network will underestimate the systemic importance of listed banks. Systemically important banks in financial system are changing very year. Bigger banks are usually more important, but systemic importance has no perfect positive correlation relationship with banks’size.By using a panel date from2010to2012of the Chinese listed commercial banks, this paper analyzed empirically how bank size, finance network, common-factor loadings, probability of default and the capital adequacy ratio affect the systemic importance of listed banks. Our results showed that financial network structure is positively related to systemic importance. Capital adequacy ratio is negatively related to systemic importance.