Research On Measuring The Systemic Risk Of China’s Commercial Banks

Began in 2007, the United States subprime mortgage crisis has made world banking system suffer huge losses. The global banking systemic risk made the large commercial banks’ default loss spread to other domestic banks and even foreign banks.The "domino effect" of the banking systemic risk has caused the attention of academic and supervision department. Systemic risk’s highly infectious and destructive effect may endanger the entire financial system and severely hinder the development of a country’s economy. Therefore, it is necessary for each country to study the banking systemic risk. China’s commercial banks was influenced greatly by this global financial crisis. The main content of this paper is to measure the systemic risk contribution.Based on the previous research results, the paper, firstly, analyze the causes and the evolution mechanism of banking systemic risk in details. Secondly, by comparing the present measuring methods of banking systemic risk, considering the characteristics of China’s banking system and data availability, taking the stock yields of 14 listed commercial banks as research objects, the paper build CoVa R model based on Quantile Regression method to measure the systemic risk. Thirdly, make a concrete analysis of influence factors of banking systemic risk based on the panel regression. At last, propose relevant policy suggestion for guarding against and monitoring the banking systemic risk. The paper, selecting each bank’s weekly closing stock price from July 4, 2008 to June 27, 2014 as the research base, introducing state variables to simulate the timely characteristics of tail risk, use Quantile Regression method to estimate each bank’s VaR and systemic risk contribution. Meanwhile, by establishing the bank’s own index system and considering the macroeconomic development,analyze the influence factors of systemic risk in the next period.Results from the empirical analysis are as follows: First, CoVa R method,compared with VaR method, can capture the systemic risk contributed by single bank in tail risk to other banks or the whole banking system. The second is that state-owned commercial banks have stronger ability to defend the systemic risk than joint-equity commercial banks and city commercial banks. Third, when comparing the systemic contribution made by a single bank to whole banking system, it comes to a conclusionthat the contribution of state-own commercial banks is greater than that of joint-equity commercial banks and the latter is greater than that of city commercial banks. Fourth,the systemic risk contribution of a single bank is significantly and positively related to its own scale, non-performing loan ratio, the proportion of wholesale funding and ROE,and is significantly and negatively to its net interest income and GDP. Meanwhile,there is no correlation between bank’s VaR and its systemic risk contribution.