Bank Macro Safety Status Research Based on Robust MEWMA Process Control Method

DOI

10.2991/icemaess-18.2018.52How to use a DOI?

Keywords

Bank Macro Safety Status, Robust Statistics, MEWMA, Process Control

Abstract

The issue of bank safety has always been one of the key contents of financial and economic scholars. First, this paper establishes the bank macro safety status index system, obtain robust covariance matrix based on the Fast-MCD algorithm. On this basis, construct robust process control model of the bank macro safety status, analyze bank macro safety’s antecedent status, consistent status and the lagging status. The research shows that, the unsafe period of bank's macro safety status is mainly concentrated in the middle of 2005, end of 2008 to early 2009, end of 2011 to early 2012, which is basically consistent with China’s actual financial situation. In addition, the antecedent status index is about 3 months ahead of the consistent index, and the lagging status index is roughly 6.3 months behind the consistent status index. These results can be used to predict the macro safety status of the bank and take the corresponding policy measures in advance.

Copyright

© 2018, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Xianfen Xie
AU  - Binhui Wang
AU  - Wanrong Gu
AU  - Ziye Zhang
PY  - 2018/11
DA  - 2018/11
TI  - Bank Macro Safety Status Research Based on Robust MEWMA Process Control Method
BT  - Proceedings of the 2018 5th International Conference on Education, Management, Arts, Economics and Social Science (ICEMAESS 2018)
PB  - Atlantis Press
SP  - 246
EP  - 251
SN  - 2352-5398
UR  - https://doi.org/10.2991/icemaess-18.2018.52
DO  - 10.2991/icemaess-18.2018.52
ID  - Xie2018/11
ER  -