Research Of The Measurement Of Systemic Risk In The Banking Based On Quantile Regression Method

Since the global financial crisis caused by subprime mortgage crisis in2008, the systemic risk in the financial system has been the researchfocus of the theory and businessmen at home and abroad.Meanwhile the global financial crisis let the business community and academia began to anti-awake the previous risk prediction and monitoring mechanisms,they realize that we can’t prevent and resolve systemic risk only bythe micro-regulation,we must focus on the health and stability of the entire financial system and make guard against systemic risk as the target,strengthen macro-prudential supervision,assess and prevent risks of the financial systemfrom the overall perspective.People begin to focus attention to the risks of individual institutions instead paying close attention to the control of systemic risk throughout the financial system and turned to the study of the management methods of predicting and measuringthe systemic risk in the financial system effectively. International Monetary Fund (IMF) begin to reform the international financial system,one of the core issues of the reform of the international financial system is to vigorously promote the implementation of the entire financial system of macro-prudential policies to strengthen the stability of the system level. Our country also clearly pointed out that we should build and improve the mechanisms of early warning,prevention, assessment and response of systemic financial risk in the12th Five Year Plan.Banks as the core component sector of an important intermediary financing institutions and the financial system,China Banking Regulatory Commission Chairman Shang Fulin (2014) pointed out that Chinese enterprises financing accounted for the entire amount of the proportion of financing more than80%through the banking system,and the scale of China’s banking assets accounted for the entire financial sector financial assets of all proportion as high as90%.Even in the U.S. capital markets developed,2012U.S. non-financial corporate enterprises accounted for the entire amount of financing proportion reached31.3%through bank financing this indirect financing channels,and banks are an important support for the protection of people’s daily lives, saving, borrowing and repayment and other activities normally carried out.Namely in the era of market economy that currency, credit relations dominate,apart from a few exceptional circumstances, almost all of the debt or the transfer of ownership of monetary wealth need the help of an intermediary role of banks and other credit institutions.This means that the normal daily economic activities carried of people and businesses and payment and settlement systems guaranteed is built in the bank as the center.Stable and effective operation of the banking system is very important for its stable and rapid economic development.Therefore the must of bank systemic risk also began to receive attention.After the crisis,the concerns and study for the banking systemic risk were up more quickly.As we all know, China’s financial system is bank-based. So how to prevent bank systemic risk must be the focus of China’s financial system risk and study.It also has very important theoretical and practical significance for China’s financial system stable operation.In particular, the significance of establishment of Shanghai international financial center and the internationalization of RMB. The focuses on prevention of bank systemic risk are for the effective and effective measure of bank systemic risk. Chinese study for bank systemic risk compared to starting relatively late.The suitable measurement methods research building on the systemic risk of the actual situation of China’s banking industry is in its infancy.In this context,based on the data of14listed banks stock prices315weeks in this paper,it attempts to use quantile regression method combined with the newly proposed COVAR status of the theory of systemic risk measure of banking sector and preliminary estimate the importance of each system listed banks for effective metrics to explore the systemic risk of the banking sector.This study is organized as follows:The first chapter is the introduction.It is mainly on the research background brief introduction,describes the significance of this study, briefly reviews the dynamics of domestic and foreign bank systemic risk research and briefly discusses research methods.The second chapter are outlined from the definition, characteristics, hazards, and infectious causes of systemic risk in the banking aspects and also introduces the research status on several aspects. Chapter Ⅲ describes the use of a simple for the quantile regression model and the theory of this paper and sorts out the relevant literature for its use in the field of risk measurement.Meanwhile it gives a detailed classification combing for the relevant literature on bank systemic risk measure based on macroscopic and microscopic view.The fourth chapter describes the stock price data collected14banks. This calculation of its equity index and return series is based on it.While it builds a concrete measure of bank systemic risk model based on quantile regression methods and the theory of this article COVAR.The fifth chapter is a systemic risk situation empirical analysis of China’s banking industry.It does quantile regression each stock return series in overall bank stock returns are calculated sequences by using constructed the model in Chapter IV and calculates the overall VAR bank and the bank between COVAR. It analyzes each regression results and tries to figure our systemically important banks.Combined results of this study is believed that ICBC,China Construction Bank, Bank of China and Bank of Communications are the first echelon systemically important bank.Three famous joint-stock commercial banks,which are China Merchants Bank, Shanghai Pudong Development Bank and CITIC Bank are the second tier of systemically important banks.This is basically consistent with the actual situation in our country. And it gives some suggestions of systemic risk supervision of the banking sector.The sixth chapter describes the main conclusions and deficiencies of this study.I build a model of the bank systemic risk measurement in this paper, based on based on quantile regression method and COVAR theory. We can use Quantile regression to deal with the common "fat tail" problem of stock returns sequence effectively. COVAR theory has improved the method of VAR theory. We can measure the spill risk between the banks and the banking system with the COVAR method. The results of this study are basically consistent with the actual situation of China’s banking industry. This shows that the model can be applied to the measurement of systemic risk in the banking sector. It is of great significance to do this research for exploring the measurement of systemic risk of the banking.