A Study on Shadow Banking Scale and Risk in China

摘要

In this paper, the closing price of a total of 28 listed companies including 16 traditional banks and 12 shadow banks in China are selected as the study samples to construct the GARCH model and calculate the VaR values of these 28 banks of shadow banks on traditional banks. The empirical results show that risks faced by China's shadow banks are up to three times higher than those faced by traditional banks. On the other hand, as shadow banks and traditional banks are highly correlated and risks are contagious, the shadow banks will have risk spillover effects on other financial subjects. Accordingly, we should improve the shadow banking legal system and supervision framework to adapt to the financial system reform; the non-traditional credit creation mechanism within the banking system is the focus of the supervision of the shadow banking system in the future; we should adjust the financial supervision model in a timely manner and gradually change from separate supervision to comprehensive supervision; we should improve the internal control mechanism of shadow banking based on supervision improvement.