Basel ? EMFA Model Correction And Early Warning Index System Construction For Contagion Concentration Risk

At the fifth national financial work conference held in July 2017,Xi Jinping pointed out: "Prevention of systematic financial risks is an eternal theme of financial work." This article is based on Basel III,combining the characteristics of China's financial structure,and trying to build a China's Commercial Banks' Early Warning Mechanisms for Default Contagion and Concentration Risks.First,it introduced the concept,conduction path and risk management of the risk of default of contagion.Based on this,it summarized and compared the common measurement models in the field of credit risk management.Provide theoretical support for EMFA model modification.Secondly,in the study of commercial banks' macro early warning indicators,this paper selected the BB7-Copula model to study the tail extreme effects of eight different industries,selected the industry development index for the past three years,and focused on the lower tail coefficient and the last tail coefficient.In comparison,a series of conclusions about the risks of default violations were drawn.Based on this,through the mathematical statistical model,a specific credit ceiling for specific industries and regions is given for commercial banks.Then,in the study of micro-early warning indicators for commercial banks,this paper selected the KLR-entropy method model,based on the annual reports of eight commercial banks for the past six years,gave a comprehensive score for the banking industry in China and a separate score for each business.The scores of bank systemic risk appraisal values are mapped,and on the basis of this,the defaulting contagion situation of commercial banks is given.Through objective weighting of model selection indicators and risk appraisal mapping scores,this paper gives capital adequacy and bank mutuality.The net credit risk exposure indicator is the core micro early warning indicator system.Finally,this paper tests the macro and micro early warning indicator systems of commercial banks that have been designed to explore whether they meet the current financial structure characteristics of China and the new Basel III regulatory guidelines.After the test is passed,this paper summarizes the early-warning index system for commercial bank's default risk of contagion,and gives policy recommendations from both macro and micro perspectives.The macro perspective is the financial institution's supervisory department,the central bank,and related government departments.The microscopic point of view is from the commercial bank itself.