银行系统性风险度量——基于动态CoVaR方法的分析被引量：155

Banking Systemic Risk Based on Dynamic CoVaR Estimation

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摘要以测量金融机构溢出风险的条件CoVaR模型为基础,应用股价数据对我国14家上市商业银行的系统性风险贡献度及其影响因素进行测算分析.实证结果表明:银行系统性风险贡献度与其自身VaR之间并无显著线性关系,对我国银行体系而言,系统重要性银行主要是四大国有银行,尤其以建设银行、中国银行和工商银行的系统性影响最为显著,其他股份制银行的风险溢出和传染效应远小于这3家银行;银行的溢出风险ΔCoVaR、自身风险VaR水平、不良贷款率以及宏观经济波动对于预测银行系统性风险的边际贡献具有显著影响. This paper estimated banking systemic risk based on CoVaR measure discussed by Adrian and Brunnermeier（2009）.Our conclusions are： ① banking systemic risk has no linear relationship with its VaR.In China the four state-owned banks have most systemic risk.② CoVaR,VaR and non-performing loans ratio are significant to predict future marginal systemic risk of banks.

作者高国华潘英丽

机构地区上海交通大学安泰经济管理学院

出处《上海交通大学学报》 EI CAS CSCD 北大核心 2011年第12期1753-1759,共7页 Journal of Shanghai Jiaotong University

基金国家社科重点项目(09AJY003) 教育部应急课题项目(2009JYJR037)

关键词 CoVaR方法系统性风险风险溢出 CoVaR measure systemic risk risk spillover

分类号 F831.9 [经济管理—金融学]

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