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Research on Banking Systemic Risk Based on Macro-Prudential Perspective

Author: ZhangNa
Tutor: GuoShiKun; ZhangChangQuan
School: Anhui University of Finance
Course: Finance
Keywords: banking systemic risk macro-prudential systemicallyimportant procyclicality
CLC: F832.1
Type: Master's thesis
Year: 2012
Downloads: 68
Quote: 0
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Abstract


The international financial crisis originated from the U.S. subprime crisis highlights the importance of controlling systemic risks and maintaining financial stability. As a result, the international society has delved into and reflected on the outbreak and spread of crisis, on the purpose of seeking effective methods to prevent systemic risks. Among the various diagnoses of the causes of the crisis, a basic consensus is that the lagging of financial regulation system behind financial development is a critical factor for the outbreak and spread of the crisis. At present, the micro-prudential supervision on financial organizations implemented by supervisors from various countries, focused on the risks and management of single institution, is not sufficient to avoid systemic risks incurred by correlation between financial institutions and procyclicality between financial system and macroeconomic. That’s why we should pay more attention to macro-prudential supervision. In recent years, the overall situation of our financial system is relatively robust, which withstood the test of global financial crisis and suffered little, but the potential systemic risks cannot be neglected. Banking, the core center of our financial system, is extremely essential. So it’s prospective to make researches on the formation mechanism and supervision measures of banking systemic risks from macro-prudential perspective.According to the basic theory of proposing problems, analyzing problems and addressing problems, this thesis combines theoretical and empirical analysis together. The thesis firstly reviews the research results of banking systemic risks home and abroad, on the basis of which an analysis of the connotations, properties and theoretical causes of banking systemic risks can be found. What follow is the research on the formation mechanisms and evaluation methods of banking systemic risks, as well as the application of these evaluations methods, mainly from the two dimensions of macro-prudential supervision including cross-sectional dimension and cross-time dimension. From cross-sectional dimension, systemically important financial institution, especially its correlation with other institutions, plays an important role in the outbreak and spread of banking systemic risks. Matrix model and network model can detect the interaction between various banks and measure the systemic risks. From cross-time dimension, the procyclicality of our banking credit is empirically proved, so as to study the internal procyclicality of banking system. Then the paper proposed a comprehensive index to evaluate banking systemic risk. Finally, some suggestions are proposed about how to prevent systemic risks, on the basis of the international research results of macro-prudential regulations and the real situations of our banking systems.

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CLC: > Economic > Fiscal, monetary > Finance, banking > China's financial,banking > Finance, banking system
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