金融机构系统重要性评估方法比较与应用研究

发布时间：2018-04-07 15:05

本文选题：系统重要性金融机构　切入点：边际期望损失　出处：《武汉金融》2017年08期

【摘要】：本文比较了MES、SRISK和CES三种金融机构系统重要性评估方法的有效性和适用性,并评估了中国上市金融机构系统重要性。研究表明在均使用公开市场数据进行分析的条件下,MES和CES指标时效性较好;SRISK对于综合规模、杠杆率等信息的评估结果更可靠,时效性略差;SRISK和CES样本外预测效果较好。本文以SRISK指数为基础,参考MES和CES指标,按系统重要性将中国金融机构分为三大类,商业银行贡献了系统性风险的绝大部分,保险公司系统重要性有上升趋势。本文还发现样本期内金融机构系统重要性是动态变化的,具有明显周期性特征,系统性风险集中在少数金融机构。监管机构需要保持动态监测,加强金融机构宏观审慎监管。
[Abstract]:In this paper, we compare the validity and applicability of MESS-SRISK and CES, and evaluate the systematical importance of listed financial institutions in China.The results show that under the condition of using open market data for analysis, the time-efficiency of mes and CES indexes is better. The evaluation results of comprehensive scale, leverage ratio and other information are more reliable, and the prediction effect of CES and CES is better than that of SRISK and CES.On the basis of SRISK index, referring to MES and CES, this paper divides Chinese financial institutions into three categories according to systematical importance. Commercial banks contribute most of systemic risk, and the systemic importance of insurance companies tends to rise.It is also found that the importance of financial institutions in the sample period is dynamic, with obvious cyclical characteristics, and the systemic risk is concentrated in a few financial institutions.Regulators need to maintain dynamic monitoring and strengthen macro-prudential supervision of financial institutions.
【作者单位】：河北大学;
【基金】：作者主持的国家社科基金青年项目“保险业系统性风险与金融稳定关系研究”(14CJY073)阶段性成果
【分类号】：F832.33;F842.3

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