Bonollo Model Revision And The Early Warning Research On Commercial Banks' Default Infection Concentration Risk Based On The Perspective Of Basel?

In the context of the era of economic globalization,the links between economies are becoming increasingly close.The occurrence of credit risks will be transmitted from one economy to other economies,causing contagion risks.In 2010,BaselIII broadened the regulatory scope of credit concentrating risk,again setting off an upsurge of domestic and foreign scholars' concern about infectious contagion risk.In this context,this paper,which is based on Basel III's newly added regulatory requirements,improves the traditional infectious concentration risk measurement model,takes full account of the characteristics of China's financial structure,constructs an early warning indicator system for the concentration of risk in commercial banks,and makes relevant recommendations.Firstly,this paper briefly introduces the related concepts,conduction path and risk quantification theory of infectious contagion risk,and provides relevant theoretical support for the correction of infectious concentration risk measurement model and the construction of early warning index system.Secondly,in the correction of contagion risk model,this paper fully draws on the realistic requirements of Basel III to expand the scope of centralized credit risk supervision and introduces risk contagion effect among enterprises in financial markets on the basis of previous research results.Subdivided into two aspects of macroeconomic conditions and financial market conditions,the traditional Bonollo infection concentrating risk measurement model was revised to correct the Bonollo model,and the fuzzy measurement and evaluation of risk contagion factors in the Bonollo model was improved to deepen understanding of the risks of contagion.Thirdly,in the construction of early warning indicators system,this paper separately designs indicators from both macroscopic and microscopic levels: At the macro level,we use the weighted probability mean-variance model based on cut sets to obtain the expected return rates for various industries,regions,and industries.,and further design macro warning indicators;micro level,select 14 banks as sample data,use the panel model for regression analysis of sample data,design micro-early warning indicators system from both systemically important banks and non-systemically important banks,and study the breach of contract The relationship between risk contagion and credit concentration will build a macro-micro integrated risk early warning indicator system.Then,the modified Bonollo model is combined with the designed early warning index system to comprehensively analyze the applicability of the improved Bonollo model in China,and the consistency of the design of the infectious concentration risk early warning index system and the BaselIII regulatory requirements.Finally,on the basis of the model revision and index system construction,the conclusion is reached: in the aspect of model revision,this paper further subdivides the risk contagion factor and corrects the Bonollo model,although the applicability of the revised model in China needs to be examined.However,it compensates for the deficiency of the Bonollo model for the interpretation of risk contagious factors.In terms of index system construction,this paper designs indicators based on macro and micro levels,which can better meet the regulatory requirements of Basel III and supplement China's early warning index system..This paper proposes related policy recommendations based on the two levels of regulatory authorities and commercial banks for the risk of default of contagion.