中国上市银行系统重要性评估  

The Assessment of Systemic Importance of Chinese Listed Banks

作　　者：陆静[1] 张佳[2] 

机构地区：[1]重庆大学经济与工商管理学院金融系 [2]重庆大学经济与工商管理学院

出　　处：《金融论坛》2011年第9期30-37,共8页Finance Forum

基　　金：国家社会科学基金(09BJL024);重庆市自然科学基金(2009BB2042)资助

摘　　要：系统重要性银行作为国际银行监管机构提出的新概念,其评估方法还未达成一致。本文根据巴塞尔委员会、金融稳定理事会和中国银监会等部门的监管理念,从规模、关联性和复杂性出发,对附带破坏指数CDI做出改进,采用多变量极值模型和规模加权的稳定尾部相依函数,评估中国上市银行的系统重要性。研究结果表明,金融危机期间,中国上市银行股票收益极端值之间的关联性明显增加,几大国有控股银行的系统重要性程度高于其他银行。因此,从宏观审慎和防范系统风险的角度出发,应着重加强对几大国有控股银行的监管,避免"大而不能倒"的道德风险,减少社会成本。Systemic importance is a new concept proposed by international regulators and the regulators have not yet agreeed on its assessment method. According to the macro-prudential regulatory philosophy and considering size, relationship and complexity, this paper improves collateral damage index （CDI） and uses multivariate extreme value model and stable tail dependence function weighted by size to measure the systemic importance of Chinese listed banks. The studies show that, during the financial crisis, the correlations among extreme stock returns of domestic commercial banks increase significantly and the systemic importance of several large state-controlled banks was higher than that of other banks. Therefore, from the point of view of macro-prudence and systemic risk prevention, it is necessary to strengthen the supervision on several major state-controlled banks to avoid ＂too big to fail＂ moral hazard and reduce the cost of social assistance.

关 键 词：商业银行 上市银行 系统重要性银行 系统性风险 宏观审慎监管 

分 类 号：F832.2[经济管理—金融学]