Prediction of Banking Systemic Risk Based on Support Vector Machine

Table 1

List of prediction indicators for banking systemic risk.

Indicator	Safety	Mild safety	Mild unsafety	Unsafety
Capital adequacy ratio (𝑋1)	12%≤𝑋1	10%≤𝑋1<12%	8%≤𝑋1<10%	𝑋1<8%
Nonperforming loan ratio (𝑋2)	𝑋2≤2%	2%<𝑋2≤3.5%	3.5%<𝑋2≤5%	5%<𝑋2
Proportion of a single maximum loan (𝑋3)	𝑋3≤6%	6%<𝑋3≤8%	8%<𝑋3≤10%	10%<𝑋3
Return on assets (𝑋4)	0.25%≤𝑋4	0.2%≤𝑋4<0.25%	0.2%≤𝑋4<0.15%	𝑋4<0.15%
Cost-to-income ratio (𝑋5)	𝑋5≤20%	20%<𝑋5≤28%	28%<𝑋5≤35%	35%<𝑋5
Liquidity ratio (𝑋6)	45%≤𝑋6	35%≤𝑋6<45%	25%≤𝑋6<35%	𝑋6<25%
Loan-to-deposit ratio (𝑋7)	𝑋7≤55%	55%<𝑋7≤65%	65%<𝑋7≤75%	75%<𝑋7
Leverage (𝑋8)	8%≤𝑋8	8%≤𝑋8<6%	6%≤𝑋8<4%	𝑋8<4%
Interdependence (𝑋9)	𝑋9≤6%	6%<𝑋9≤8%	8%<𝑋9≤10%	10%<𝑋9
External linkages (𝑋10)	𝑋10≤1.8%	1.8%<𝑋10≤2%	2%<𝑋10≤2.2%	2.2%<𝑋10
Year-on-year growth of GDP (𝑋11)	|𝑋11−8%|≤1.5%	1.5%<|𝑋11−8%|≤3%	3%<|𝑋11−8%|≤4.5%	4.5%<|𝑋11−8%|
Year-on-year growth of CPI (𝑋12)	|𝑋12−2%|≤2%	2%<|𝑋12−2%|≤4%	4%<|𝑋12−2%|≤6%	6%<|𝑋12−2%|
Year-on-year growth of fixed asset investment (𝑋13)	|𝑋13−16%|≤3%	3%<|𝑋13−16%|≤6%	6%<|𝑋13−16%|≤9%	9%<|𝑋13−16%|
Year-on-year growth of national real estate index (𝑋14)	|𝑋14|≤1.5%	1.5%<|𝑋14|≤3%	3%<|𝑋14|≤4.5%	4.5%<|𝑋14|
Volatility of the Shanghai index (𝑋15)	|𝑋15|≤10%	10%<|𝑋15|≤15%	15%<|𝑋15|≤20%	20%<|𝑋15|
Ratio of growth of M2 to growth of GDP (𝑋16)	𝑋16≤1.5	1.5<𝑋16≤2.2	2.2<𝑋16≤3	3<𝑋16
Volatility of benchmark lending rates (𝑋17)	|𝑋17|=0	0<|𝑋17|≤0.2%	0.2%<|𝑋17|≤0.4%	0.4%<|𝑋17|