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The Research On The Systematic Risk Of Chinese Commercial Banks And Its Influencing Factors

Posted on:2017-02-16Degree:MasterType:Thesis
Country:ChinaCandidate:X P ZhuFull Text:PDF
GTID:2349330488978607Subject:Finance
Abstract/Summary:PDF Full Text Request
People around the world shocked by the strong destructive power of the great destruction in the 2007 global financial crisis that triggered by the US subprime mortgage crisis. Then the systemic risk has become the focus of discussion with national regulators and scholars. China's banking industry has not yet collapse in this crisis, but also experienced the volatility and the risk accumulated. Therefore, it's meaningful for the stability and healthy development of China's banking industry to accurately measure systemic risk of China's commercial banks and define important factors affecting bank systemic risk. Simultaneously, it would provide a theoretical basis and empirical test for the prudential supervision of the banking industry.This paper is emphasis on a systemic banking risk measurement and influencing factors, the analysis structure as follows:first, to clarify the different concepts of bank systemic risk, to summarizes the characteristics of the bank systemic risk, to sum up the generation mechanism of systemic risk and the special formation mechanism in our country; secondly, to detailed introduce the measurement of the bank systemic risk method-SRISK method, to analysis the positive results in conjunction with static analysis and dynamic analysis methods; once again, to test the bank size,the leverage ratio,core capital adequacy ratio and non-interest income ratio that influenced systemic risk and to determine which factors are the most important factors by using panel data regression; finally, on the basis of the previous theoretical analysis, empirical research and the angle of macro-prudential supervision of banks, to make a suggestion about banks' systemic risk regulation and stability.According to empirical results we can see the conclusions:first, the different methods of measurement of systemic risk would yield different results, and institutions characteristic data bank systemic risk is an important factor of influence. The method of EMS which only use stock market data obtained the result that joint-stock commercial banks'systemic risk is higher than the state-owned commercial banks', while the method of SRISK obtained the opposite conclusions; second, the bank systemic risk ranking is not fixed, but varies with the time change, and the change in direction is inconsistent; third, the larger banks'systemic risk is generally higher, but systemic risk and bank size is not a completely positive correlation; fourth, bank size, leverage, non-interest income ratio and banks'systemic risk is positive direction, that is, the larger the bank, the higher the leverage, the greater the proportion of non-interest, banking systemic risk will be higher, while the core capital adequacy rate has the reverse effect on bank systemic risk, namely, the greater the core capital adequacy, banks' systemic risk is smaller; fifth, core capital adequacy ratio is the most influential factor.
Keywords/Search Tags:Commercial Banks, Systemic Risk, the Method of SRISK, Influence Factors
PDF Full Text Request
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