我国商业银行的系统重要性指数:一种新的评估方法  

Systemically Important Index of Chinese Banks:A New Identification Method

作　　者：郑鸣[1] 陈福生[2] 

机构地区：[1]厦门大学经济学院金融系 [2]厦门大学经济学院

出　　处：《金融监管研究》2012年第10期14-30,共17页Financial Regulation Research

基　　金：福建省软科学基金项目(2011R0086);厦门大学基础创新科研基金项目(201122G009)赞助支持

摘　　要：加强系统重要性银行(SIBs)的监管已成为金融监管层的共识,但是各界对于SIBs的确定标准和方法则没有达成一致,包括BCBS(巴塞尔银行监督委员会)在内的重要研究机构,对其评估方法仍处于完善之中。本文在BCBS和Zhou等思想的基础上经研究认为,在进行系统重要性银行的评估时必须要考虑银行规模和关联传染两方面的因素。本文分别采用客观赋权法的熵权模型和对变量分布不做要求的Spearman相关级数,研究了我国16家上市银行的规模重要性和关联重要性,最后综合构建了一个新的CSⅡ指数,并由此得出相关的结论与启示。此思路为一个新的系统重要性评估方法,相对来说具有客观性和可操作性,可为我国系统重要性银行监管提供借鉴与参考。To strengthen the supervision to Systemically Important Banks(SIBs) has become the consensus of financial regulators,but the methods to identify SIBs have not been standardized;many research institutions including BCBS are still improving the identification methods on SIBs.Based on the studies of BCBS and Zhou et al, this paper argues that the identification of SIBs must take two aspects,i.e.,bank scale and associated transmission, into account,and uses the Entropy Weight Model with an objective weighting,and the Spearman Correlation with the variable distribution not required to study the two factors mentioned above.Meanwhile the paper assesses the scale importance and associated importance of 16 Chinese listed banks,and constructs a new comprehensive index called 'CSII' that leads to a series of conclusions and suggestions.This new identification method for SIBs is objective and relatively operational,thus can provide some enlightening ideas for the supervision of SIBs in China.

关 键 词：商业银行 系统重要性 评估 

分 类 号：F832.33[经济管理—金融学] F224