Study On Risk Measurment Of Shadow Banking And Supervision Strategy

As a product of modern financial innovation,Shadow banking plays a role of credit intermediary and reflets the supply and demand in money of the market. The presence of shadow banking has its positive effects, for example commercial banks continue to transfer assets to Off-Balance Sheet Activities(OBS) which is outside the regulation of China Banking Regulatory Commission(CBRC). Thus, it is possible that commercial banks provides the leverage and maturity transformation for financing activities. however, with the accumulation of financial risks the stability of the financial system has been an unprecedented shake. It is urgent to strengthen the regulatory authorities for the effective regulation of shadow banking.Based on the study of the definition and characteristics on shadow banking, we divided shadow banking into 2 categories: traditional shadow banking and banking shadow. Firstly, we selected 10 traditional shadow banking as well as 12 traditional commercial banking. And then By built stock return GARCH model to measurment risk capability of traditional shadow banking. And calculate the CoVaR to measure spillover effect to commercial. Finially, using the panel model built regression equation between shadow banking business scale and Z score. Thus, we will find the contribution of shadow banking to the bankruptcy.The study found that traditional shadow banking business’ s ability to resist risk is generally weak, compared with the commercial Banks. The value at risk of shadow banking is 1.5 times commercial banks. The folk shadow banking is more infectious of systemic risk, than securities and trust. While financial innovation represents the progress of capital and currency markets, shadow banking has a great contribution to commercial banks bankruptcy,the codfficient is 0.27. So regulation authorities should promote the progress of shadow banking supervision, to achieve business supervision and agencies suprisivion.