系统性风险贡献评估方法改进及在商业银行的应用  

The Improvement in the Assessment Method of Systemic Risk Contribution and the Application in Commercial Banks

作　　者：马亚芳[1] 潘凌遥[1] 

机构地区：[1]湖南大学金融与统计学院

出　　处：《金融论坛》2013年第8期24-28,61,共6页Finance Forum

摘　　要：已有的商业银行系统性风险贡献评估方法对银行业机构风险的相关性考虑不足,容易对各银行的系统性风险贡献过度估计,且大都使用市场数据进行测算,难以体现风险的传染。本文引入共同冲击因子,并考虑风险通过资产负债表的关联在银行间的传染。实证结果表明,随着商业银行资产规模的扩张,其系统性风险贡献也在增加,大型国有商业银行的系统性风险贡献大于其他类型的银行。为防范系统性风险,除了要注意系统性风险贡献较大的银行外,也要注意系统性风险贡献占比有变大趋势的银行,防止银行风险的过度集中。The existing assessment methods of the systemic risk contribution of commercial banks do not consider enough the relevance of the systemic risks of banks. They may estimate the systemic risks too high, and most of them measure risks according to market data, which can not reflect risk transmission well. This paper introduces common-impact factors and considers the risk transmission among the banks through the relevance of balance sheet. The empirical results show that the systemic risk contribution of commercial banks increases with the expansion of the asset size of banks, and the systemic risk contribution of large state-owned commercial banks is greater than that of the other types of banks. To prevent systemic risks, not only should the banks that make great systemic risk contribution but those banks whose risk ratios show increase trends be paid attention to.

关 键 词：商业银行 系统性风险 风险贡献 夏普利值 

分 类 号：F832.33[经济管理—金融学] F224