基于资产负债表关联的银行系统性风险研究

发布时间：2018-01-29 11:15

本文关键词： 银行系统性风险传染同业拆借市场　出处：《管理工程学报》2012年04期 　论文类型：期刊论文

【摘要】：应用61家银行2009年年报数据对基于资产负债表关联的银行间市场双边传染风险进行研究,从信用违约和流动性风险角度对传染路径和资本损失进行估测,并深入分析银行间市场的不同结构对传染效应的影响,此外,本文还应用负二项式计数模型对系统重要性银行和易被传染银行的微观特征进行实证检验。研究得出:(1)在"完全分散型"市场结构假设下,我国银行间市场传染性风险极小;当考虑交易主体集中度并假设"相对集中型结构"时,系统性风险和传染效应将上升;当考虑违约风险和流动性风险联合冲击时,资本损失和风险传染的范围显著扩大。(2)大型国有银行处于银行间资本流动的中心环节,尤其中国银行和工商银行是传染风险发生的重要诱导来源。(3)影响银行在拆借市场中系统重要性的因素有银行类型、资产规模和风险头寸;而影响银行易受传染性的因素有银行类型、资本充足状况和风险暴露程度。
[Abstract]:Based on the 2009 annual report data of 61 banks, the risk of bilateral contagion in the interbank market based on balance-sheet correlation was studied. From the perspective of credit default and liquidity risk, we estimate the contagion path and capital loss, and analyze the impact of the different structure of the interbank market on the contagion effect. This paper also uses the negative binomial counting model to test the microcosmic characteristics of systemically important banks and susceptible banks. The conclusion is that: 1) under the assumption of "completely decentralized" market structure. The infectious risk of interbank market in China is very small; The systemic risk and contagion effect will increase when considering the concentration degree of the transaction subject and assuming the "relative centralized structure". When considering the combined impact of default risk and liquidity risk, the scope of capital loss and risk contagion is significantly expanded.) large state-owned banks are in the central link of inter-bank capital flow. Especially Bank of China and Industrial and Commercial Bank of China are the important inducement sources of contagion risk. The factors that affect the contagion of banks are bank type, capital adequacy and risk exposure.
【作者单位】：上海交通大学安泰经济管理学院;
【基金】：国家社会科学基金重点资助项目(09AJY003) 教育部应急课题资助项目(2009JYJR037)
【分类号】：F832.2
【正文快照】： 0引言2007年国际金融危机以来,银行系统性风险测度和管理问题成为国内外学术界和政府监管机构关注的焦点。二十国集团、IMF等国际组织及美国、欧盟、日本等国政府在发布的危机研究报告中均将银行系统性风险累积和宏观审慎监管的缺失作为导致金融危机的重要因素。随着金融深化

【二级参考文献】