我国上市商业银行系统重要性评估与影响因素研究--基于预期损失分解视角  

The Assessment and Influencing Factor Analysis of Systemic Importance of Listed Commercial Banks in China:Based on the Perspective of the Decomposition of Expected Shortfall

作　　者：苏明政[1,2] 张庆君[1] 赵进文[2] 

机构地区：[1]渤海大学金融系 [2]东北财经大学金融学院,121013

出　　处：《南开经济研究》2013年第3期110-122,共13页Nankai Economic Studies

基　　金：2012年国家社科基金重点项目“系统性金融风险防范和监管协调机制研究”(批准号:12AZD044);教育部重大专项项目“产业安全工程学研究”(批准号:239010522);全国统计科研计划项目“我国系统性金融风险测量的统计问题研究”(批准号:2012LZ036)的联合资助

摘　　要：金融机构系统重要性水平的评估是宏观审慎监管的首要任务。本文将整体预期损失作为系统风险的度量,使用成分预期损失法利用市场数据将系统风险分解为单个机构的系统风险贡献,以此作为系统重要性指数,评估我国上市商业银行系统重要性水平,并分析其系统重要性指数的动态特征,计算其对系统风险的贡献百分比,最后从规模、可替代性、复杂性与关联性的角度分析影响我国上市银行系统重要性水平的因素,并给出对策建议。The assessment of Systemic Importance of financial institution is the primary task of macro-prudential regulation. This paper, with total expected loss as systematic risk measurement, decomposes systematic risk into systematic risk contribution of single institution by applying market data to CES, which is used as index of systemic importance to assess sys- temic importance level of listed commercial banks, analyzes their dynamic characters and calcu- lates their percentage contribution to systematic risk. Finally, the paper analyses factors influenc- ing systemic importance of listed commercial banks from size, substitutability, complexity and interconnectedness and gives suggestion.

关 键 词：上市银行 系统重要性金融机构 成分预期损失 系统风险 

分 类 号：F224[经济管理—国民经济] F832.33