The Design Of The Measurement Scheme Of The Importance And Vulnerability Of The Banking System Based On The DebtRank Algorithm

Under the background of economy globalization,the financial markets and financial institutions of various countries are closely related to each other and influence to each other,thus forming the trend of "one issue affects the whole body".During the financial crisis in 2008,a large number of Banks suffered bankruptcy and liquidation,and China's financial environment was also seriously affected,especially China's banking industry was also affected by a devastating impact.Similar crises have forced people to focus again and again on the potential harm that systemic risk can do to financial markets.Therefore,the measurement of systemic risk has been put on the agenda,and some quantitative indicators of systemic risk have blossomed.Scholars begin to define systemically important institutions as those that contribute a lot to the system,and systemically vulnerable institutions as those that are likely to fail first after being hit by an undifferentiated impact.This article through to DebtRank algorithm and ? CoVaR carries on the empirical research,and through compared with G-SIBs list released the FSB.14 Banks were modeled based on DebtRank algorithm,and the stress propagation test of DebtRank algorithm was carried out.Additional risk indicators were taken as the specific value of DebtRank algorithm,and the ranking of systemically important institutions was obtained in reverse order from large to small.The institutions with the largest impact vulnerability index are system vulnerability institutions.At the same time,Quantile regression method is used to calculate the risk overflow delta CoVaR of 14 Banks,and systemically important institutions are ranked.The operation results of DebtRank algorithm and ?CoVaR model are compared with the global systemically important Banks list to verify the rationality of the model.The results show that the systemically important institutions obtained byDebtRank algorithm are closer to the g-sibs list published by FSB.According to DebtRank algorithm,the top three systemically important institutions are industrial and commercial bank of China,China construction bank and bank of China.Bank of communications and China merchants bank are system vulnerability institutions respectively.In this paper,DebtRank algorithm is used for scheme planning to measure systemically important and fragile institutions in the banking industry.First,the data of inter-bank assets,inter-bank liabilities,owners' equity and total assets are collected.Secondly,the data is taken into the DebtRank algorithm for modeling,and the additional risk index is taken as the specific value of DebtRank algorithm,which is arranged in reverse order from large to small to obtain the ranking of systemically important institutions.Finally,the system vulnerability institution is calculated,and the institution with the largest impact vulnerability index is the system vulnerability institution.According to the different characteristics of different institutions in terms of system importance and vulnerability,this paper proposes appropriate policy Suggestions for different types of institutions.For institutions of high systemic importance,the specific policy is to establish a comprehensive risk management system and improve risk prevention and control capacity.For institutions with high system vulnerability,specific policies are to strengthen capital supervision and establish capital supplement mechanism.