我国系统重要性银行的评估与风险传染性分析

发布时间：2018-04-10 15:51

本文选题：系统重要性 + 评估指标　；参考：《天津财经大学》2013年硕士论文

【摘要】：金融危机中,由于许多大型金融机构出现问题后风险的传播与蔓延,对其他金融机构造成了一系列的连锁反应,这种多米诺骨牌似的效应,导致了整个金融系统大范围的灾难。为了维护国际及各国的金融安全,系统重要性金融机构越来越引起人们的关注,国际组织及各国都加强了对系统重要性金融机构监管的步伐,纷纷出台了一系列措施来对系统重要性金融机构实施有效监管。我国为响应国际金融组织的号召,从2011年开始也加大了对系统重要性银行的监管力度,但由于我国银行系统的复杂性和特殊性,到目前为止,还没有一套确切的评估我国系统重要性银行的方法,这也对我国的监管工作造成了一定的影响。文章首先从我国实际出发,基于巴塞尔银行监管委员会于2011年11月发布的全球系统重要性银行的评估方法以及随后提出的对国内系统重要性银行的评估原则,设计出了我国系统重要性银行的评估指标体系,并基于2011年我国16家上市银行的数据,对我国银行的系统重要性进行了评估,选定工商银行、中国银行、建设银行、农业银行、交通银行、兴业银行和中信银行为我国的系统重要性银行。接着从资本市场的角度出发,使用尾部相关系数作为度量风险传染性的指标,运用Copula函数分析了我国几家系统重要性银行对其他银行的风险传染性,进一步突出了系统重要性银行在我国银行系统甚至整个金融系统中的重要地位。最后根据欧美等国对系统重要性银行的监管措施,通过借鉴先进经验并结合我国实际,提出我国监管系统重要性银行的政策建议。
[Abstract]:In order to maintain international and national financial security, systemically important financial institutions have attracted more and more attention. International organizations and countries have strengthened the pace of supervision of systemically important financial institutions.A series of measures have been introduced to effectively supervise systemically important financial institutions.In response to the call of international financial organizations, China has also increased its supervision of systemically important banks since 2011. However, due to the complexity and particularity of our banking system, so far,There is not a set of methods to evaluate systemically important banks in China, which has a certain impact on the supervision of our country.The evaluation index system of China's systemically important banks is designed. Based on the data of 16 listed banks in China in 2011, the systematical importance of China's banks is evaluated. ICBC, Bank of China, China Construction Bank and Agricultural Bank are selected.Bank of Communications, Industrial Bank and Citic Bank are systemically important banks in China.It also highlights the important position of systemically important banks in the banking system and even the whole financial system of our country.Finally, according to the supervision measures of systemically important banks in Europe and the United States, the author puts forward some policy suggestions on the supervision of systemically important banks in China by using advanced experience for reference and combining with the reality of our country.
【学位授予单位】：天津财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.3

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