A Research On Systematic Risk Of Banking Wealth Management And Its Influence Factors

Since the sale of the first bank wealth management product by China Everbright Bank in 2004,China's bank wealth management industry has developed rapidly.At the end of 2017,the total bank wealth management scale has reached 2.954 billion,which is the largest category in the asset management industry.However,due to the lack of supervision and the driving of interests,in the development of bank wealth management,there have been prominent problems such as rigid redemption,fund pool mode,channel business,and product nesting,which have completely deviated from the essence of asset management.Based on the business process of bank wealth management,this paper analyzes the problems and risks of bank wealth management from the fund side,the operation side and the asset side.On the fund side,through rigid payment,on the one hand,it enhances the investor's acceptance of bank wealth management products,on the other hand,it also enables banks to obtain additional benefits from “excess retention”.In the early stage of the development of bank wealth management,rigid redemption played a big role in promoting and accelerating the development of bank wealth management.However,rigid redemption also puts the risk that should be borne by investors within the banking system,increasing the liquidity risk faced by banks.The rapid expansion of interbank wealth management has made the asset side and debt side of bank wealth management closely related to the financial market,which has aggravated the liquidity risk of banks.At the same time,it also enhances the ability of risk to spread between institutions,and it is more likely to cause systemic financial risks.At the operational end,the fund pool model is the main mode of operation of bank wealth management in China.Its typical characteristics are “rolling issue,collective operation,and separate pricing,maturity mismatch”.Among them,rolling issue is the basic premise of the long-term operation of the fund pool.Separate pricing is the inevitable result of the collective operation and the core feature of the fund pool model.Banks will bear additional liquidity risk while acquiring the spread benefits of maturity mismatches.On the asset side,2017 bonds(42.19%)and non-standardized debt assets(16.22%)are the first two allocation directions for bank wealth management funds.The main risks faced by bond investment are: market risk,credit risk and liquidity risk.Under certain conditions,these risks may promote each other and evolve into systemic risks.Special attention needs to be paid to non-standard assets.Banks use a channel such as trusts and brokerages to invest large amounts of money in non-standard assets,especially in real estate,local government financing platforms,and “two highs and one surplus” areas.These investments increase the liquidity risk and credit risk of banks.In addition,in order to achieve regulatory arbitrage,wealth management products are often nested in layers,forming a complex trading network among financial institutions,enhancing the ability to transmit risks,and increasing the possibility of systemic risk outbreaks.Based on the analysis of the systemic risk generation mechanism of bank wealth management,I select 17 representative commercial banks in China as samples,and uses Principal Component Analysis(PCA)to measure the systemic risk of bank wealth management.The results can reflect the changes in the systemic risk of bank wealth management when major economic events occur.Next,I choose GDP growth rate,credit spread,Shibor,the growth rate of house price index,and the turnover rate as measures of macroeconomic risk,credit risk,liquidity risk,Non-standard investment risk and stock investment risk to analyzed the systematic risk of bank financing.