banking Financial Institutions Systemic Importance Risk Ampl

  本文关键词：中国非银行金融机构系统重要性再评估——基于风险倍率扩增综合指标，由笔耕文化传播整理发布。

中国非银行金融机构系统重要性再评估——基于风险倍率扩增综合指标

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《Studies of International Finance》

文章摘要：非银行金融机构作为整个金融部门的重要组成部分,其系统重要性问题对宏观金融风险管理的理论与实践均具有重要意义。鉴于国内现有研究往往忽视或因规模因素忽视对非银行金融机构的评估,以及测算方法因存在系列缺陷尚未达成一致,笔者尝试围绕风险倍率扩增指数、规模和复杂性影响因素,以最大熵客观赋权后形成评估系统重要性机构的综合指标,对现有评估方法形成改进。研究分析了引入非银行金融机构后相对于传统评估结果的差异．并进一步给出不同梯队非银行金融机构的具体评估数值。结果表明，中国平安、招商证券、中国人寿和中信证券等非银行金融机构的系统重要性往往显著高于相关银行，，监管部门亦需重视对非银行金融机构的监管，相较于金融机构业务复杂度因素,评价结果并不主要依赖于规模因素。

Abstr：The systemic importance of Non-banking financial institutions, which is an important part of the financial sector, is of great significance in terms of macro-financial risk management theory and practice. Since researches often ignore or give up the non-banking financial institutions because of scale factors, and the measurements can not reach a consensus due to a series of defects, this paper tries to improve the existing evaluation methods with the generalized max entropy endow- ing weight and simulated annealing algorithm based on the risk amplified index, in order to compared the evaluation results in SIFIs both with and without non-banking financial institutions. What＇s more, the paper also gives the specific evaluation val- ues of non-banking financial institutions in different echelons. The resuhs show that the systematic importance of some non- banking financial institutions, such as Ping An Insurance, China Merchants Securities, China Life Insurance and Citic Securi- ties, is often significantly higher than the related banks. Regulators should also pay more attention to the regulation of non- banking financial institutions. The research also shows that the evaluation results do not mainly depend on the scale factors, compared with the complexity factors of financial institutions.

文章关键词：

Keyword：:Non-banking Financial Institutions Systemic Importance Risk Amplified Index Generalized Max En-tropy Simulated Annealing Algorithm

课题项目：本文为国家自然科学基金青年项目“复杂网络结构下货币量值的系统性金融风险测控体系构建研究”（71103126）的阶段性成果,并同时得到天津财经大学优秀青年学者培育计划资助.

  本文关键词：中国非银行金融机构系统重要性再评估——基于风险倍率扩增综合指标，由笔耕文化传播整理发布。