中国上市银行系统重要性评估

发布时间：2018-03-24 15:26

本文选题：商业银行　切入点：上市银行　出处：《金融论坛》2011年09期

【摘要】：系统重要性银行作为国际银行监管机构提出的新概念,其评估方法还未达成一致。本文根据巴塞尔委员会、金融稳定理事会和中国银监会等部门的监管理念,从规模、关联性和复杂性出发,对附带破坏指数CDI做出改进,采用多变量极值模型和规模加权的稳定尾部相依函数,评估中国上市银行的系统重要性。研究结果表明,金融危机期间,中国上市银行股票收益极端值之间的关联性明显增加,几大国有控股银行的系统重要性程度高于其他银行。因此,从宏观审慎和防范系统风险的角度出发,应着重加强对几大国有控股银行的监管,避免"大而不能倒"的道德风险,减少社会成本。
[Abstract]:The new concept of systemically important banks as international banking regulators proposed, the evaluation methods have not reached consensus. According to the Basel Committee, the financial stability board and Chinese CBRC and other departments of the regulatory philosophy, from the scale of relevance and complexity, the damage index of CDI with improved stability tail using multivariate extreme value model and weighted size dependent function, the importance of evaluation system of listed banks China. The results show that, during the financial crisis, association of Chinese listed bank stock returns between extreme values increased significantly, the importance of system several large state-owned banks is higher than that of other banks. Therefore, from the perspective of macro Prudential and risk prevention systems point of view, should be to strengthen the focus on several major state-owned banks, to avoid the "too big to fail" moral risk, reduce the social cost.

【作者单位】：重庆大学经济与工商管理学院金融系;重庆大学经济与工商管理学院;
【基金】：国家社会科学基金(09BJL024) 重庆市自然科学基金(2009BB2042)资助
【分类号】：F832.2

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