商业银行非系统性风险识别、网络传染及规模测度

发布时间：2018-03-26 21:17

本文选题：非系统性风险　切入点：网络传染　出处：《会计与经济研究》2017年04期

【摘要】：商业银行的"影子银行"业务促使银行间市场交易量剧增,系统性风险积累严重,而系统性风险大小与各家商业银行非系统性风险、风险传染路径与规模有关。通过考察现有金融市场环境下银行间市场交易特征,引入一系列假设和变量对商业银行非系统性风险进行识别,利用网络模型估测风险传染及规模,并最终运用Logit模型找到影响因素。研究发现,(1)商业银行各类表内影子银行业务存在明显的业务替代性和刚性,并对银行间市场流动性资金过度依赖,系统性风险持续积累;(2)在复杂的金融网络结构下,商业银行风险传染体现为流动性风险与偿付性风险的交叉传染过程。当前我国银行系统体现为较强的流动性风险;(3)风险传染与商业银行非系统性风险有关,而非系统性风险与银行资产配置、交易头寸以及资本金等多项因素有关。
[Abstract]:The "shadow banking" business of commercial banks causes the volume of interbank market to increase sharply, and the accumulation of systemic risk is serious, and the magnitude of systemic risk and non-systemic risk of commercial banks, The risk contagion path is related to the scale. By examining the characteristics of interbank market transaction in the current financial market environment, a series of assumptions and variables are introduced to identify the non-systemic risk of commercial banks, and the network model is used to estimate the risk contagion and scale. Finally, Logit model is used to find the influencing factors. The study finds that the shadow banking business in various forms of commercial banks has obvious business substitution and rigidity, and excessive dependence on liquidity funds in the interbank market. Systematic risk continues to accumulate under the complex financial network structure, Risk contagion of commercial banks is a process of cross-infection between liquidity risk and solvency risk. At present, China's banking system embodies a strong liquidity risk. (3) risk contagion is related to non-systemic risk of commercial banks. And non-systemic risk and bank asset allocation, trading position and capital and other factors related.
【作者单位】：山东工商学院金融学院;
【基金】：教育部人文社会科学研究青年基金项目(14YJC790039) 山东省高校人文社会科学研究项目(J14WF01)
【分类号】：F832.2

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