摘要
金融危机爆发后,系统性金融风险问题逐渐突显、亟待解决。文章基于我国14家上市银行2008~2015年的相关数据,采用MES边际期望损失法研究了我国上市银行系统性风险的贡献问题。通过实证分析,结果表明:首先,单个银行的系统性风险贡献存在显著差异,大型股份制商业银行风险贡献最小,股份制商业银行风险贡献最大;其次,系统性风险贡献与某些银行特征变量密切相关,在险价值和杠杆率对系统风险贡献有显著正影响,银行规模对系统风险贡献有显著负影响;最后,通过单个银行系统风险贡献构建的上市银行整体系统性风险预警指标及其门限阈值可作为早期风险预警之用。
After the outbreak of the financial crisis,the problem of systemic financial risk gradually becomes pronounced highlighted and solutions to address the problem are needed.Based on the relevant data of 14 listed banks in China from 2008 to 2015,this paper studies the contribution to systemic risk by China's listed banks with MES(Marginal Expected Shortfall)method.The findings suggest that a single bank's contribution to systemic risk differs significantly,with the state-owned commercial banks at the lowest and the joint-stock commercial banks at the highest.Secondly,systemic financial risk is closely related to some characteristic variables of banks,among which value-at-risk and leverage ratio are significant positive factors and bank scale a negative factor.Finally,the warning indicators and their thresholds of the overall systemic risk constructed with the contribution to the systemic risk by a single listed bankcan be used for early risk warning.
出处
《大连理工大学学报（社会科学版）》
CSSCI
北大核心
2018年第2期24-31,共8页
Journal of Dalian University of Technology(Social Sciences)
基金
上海财经大学博士生创新基金项目:"我国银行业系统性风险度量研究"(CXJJ-2016-448)
