银行违约风险是系统性的吗

发布时间：2018-05-13 16:31

本文选题：Z分数 + 违约距离　；参考：《金融研究》2014年06期

【摘要】：本文基于2006年第4季度至加13年第1季度14家商业银行的非平衡面板数据,分别利用运用会计信息的Z分数方法和基于LMV模型的违约距离来表示银行的违约风险,研究银行违约风险与银行业风险及金融市场风险的关系。结果表明,我国银行业违约风险既具有异质性,又具有系统性。中国银行违约风险,对银行自身经营产生影响,更重要的是它还能引发银行业的连锁反应系统性风险和整个金融市场的系统性风险。从本文的实证研究结果中,我们可以得到一些对中国银行业进行宏观审慎监管的有益启示。银行监管机构可以将银行业违约率的大小作为宏观审慎监管的一个重要预警指标。
[Abstract]:Based on the unbalanced panel data of 14 commercial banks in the fourth quarter of 2006 to the 13 year and first quarter, this paper uses the Z fraction method of accounting information and the default distance based on the LMV model to express the default risk of the bank, and studies the relationship between the bank default risk and the banking risk and the financial market risk. The risk of breach of contract is both heterogeneous and systematic. The risk of default of the Bank of China has an impact on the operation of the bank itself, and more importantly, it can also cause the systemic risk of the chain reaction of banking industry and the systemic risk of the whole financial market. It is a useful inspiration for macro prudential supervision. Bank regulators can take the default rate of banking industry as an important early warning indicator for macro prudential supervision.

【作者单位】：清华大学理论经济学博士后流动站;中国银行业监督管理委员会;
【基金】：中国博士后科学基金第55批面上一等资助(编号2014M550037)
【分类号】：F832.33;F224

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