The Research On Pre-warning Of The Risk Of Shadow Banking Business Of Commercial Banks In China

After the American sub-prime crisis, the shadow banking business at tracts the attention and study of domestic and foreign government, various financial institutions and scholars because of its procyclicality, mismatched maturity, high leverage, and easy diffusivity and so on. Shadow business represented by bank and trust cooperation financial products, entrusted loans and undiscounted bills has achieved great development in recent years, but also accumulated a great risk at the same time, therefore we need to study the pre-warning of the risk of shadow banking business.Firstly, this paper reviews the domestic and foreign literature about the risk transmission mechanism of shadow banking, the effect of shadow banking in the financial system and macro economy and the early warning of commercial bank risk. Secondly, theoretical analysis are carried on from the definition of the shadow banking business, the risk formation, infection, outbreak of the shadow banking business and relative theories, methods and models of risk pre-warning. Thirdly, this artical carry on analysis from two angles of commercial bank shadow business development status and shadow banking risk pre-warning situation, pointing out that there are three problems which are lack of dynamic risk pre-warning mechanism, lack of index system for supervision and the absence of database. Fourthly, a index system is constructed from the external environmental risk and internal operational risk, helping carry on the risk pre-warning analysis of commercial bank shadow banking. On the foundation of the above warning signal, this article builds a logit pre-warning model and then takes empirical test of it. The results show that: from 2006 to 2013, the year 2007 and 2009 issued warning signals and safety signals appears in other years in the aspect of external environment risk pre-warning; there issued a warning signal in 2006, 2007, 2008 and 2011 and safety signal in other year in the aspect of internal operational risk pre-warning. In the external environment risk pre-warning model, the stock market capitalization acco unted for the proportion of GDP and foreign exchange reserves accounted for the proportion of GDP have negative effect on the pre-warning index. In the internal operating environment risk pre-warning model, the bank financial products scale growth rate and cost income ratio have negative effect on the pre-warning index. Finally, based on the conclusions of empirical analysis, the article puts forward four reasonable suggestions: to improve risk warning database construction, to establish risk pre-warning index system, to establish dynamic risk pre-warning mechanism, to establish sharing mechanism of risk pre-warning information.