基于或有权益分析法的中国银行业系统性风险测度

发布时间：2018-06-06 09:59

本文选题：系统性风险 + 测度　；参考：《金融经济学研究》2017年03期

【摘要】：采用或有权益分析方法,以中国16家上市银行2006~2016年间资产负债表数据和市场数据为基础测度中国银行业系统性风险。研究发现,传统外部风险事件阶段性地推升了银行风险水平,但国有大型商业银行风险抵御能力较强;而近年国内经济环境变化打破了银行原有的稳健经营局面,且城市商业银行受到更大冲击。引入风险相依性因素对中国银行业系统性风险的测度表明,全球金融危机和后危机时期中国银行业抗风险能力始终高于单一银行的风险抵御能力,系统性风险整体可控;但在2012年后的"新常态"下,中国银行业系统性风险飙升,针对单一银行的监管标准已无法有效识别系统性风险。建议将强化宏观审慎监管、改善经营环境与提高盈利能力相结合,有效规避中国银行业系统性风险。
[Abstract]:Based on the balance sheet data and market data of 16 listed banks in China, this paper uses contingent equity analysis method to measure the systemic risk of China's banking sector. It is found that the traditional external risk events have pushed up the risk level of banks in phases, but the risk resistance of large state-owned commercial banks is relatively strong. However, the changes in the domestic economic environment in recent years have broken the original stable management situation of banks. And urban commercial banks have been hit harder. The risk dependence factor is introduced to measure the systemic risk of China's banking industry. The results show that the global financial crisis and post-crisis Chinese banking industry has always been higher than the single bank's ability to resist risks, and the systemic risk is controllable. But in the "new normal" after 2012, systemic risk in China's banking sector soared, and regulatory standards for a single bank could no longer effectively identify systemic risk. It is suggested to strengthen macro-prudential supervision, improve the operating environment and increase profitability to effectively avoid systemic risks in China's banking sector.
【作者单位】：济南大学商学院;
【分类号】：F832.33

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