中国上市银行系统性风险度量——基于MES方法的分析  

Systemic Risk Measurement of Chinese Listed Banks:Based on MES

作　　者：宋清华[1] 姜玉东[1] 

机构地区：[1]中南财经政法大学金融学院,湖北武汉430073

出　　处：《财经理论与实践》2014年第6期2-7,共6页The Theory and Practice of Finance and Economics

基　　金：国家社会科学基金重点项目(13AJY017)

摘　　要：运用边际预期损失(MES)方法,通过DCC-GARCH模型和非参数估计计算我国14家上市银行的边际预期损失,并结合资产规模和杠杆率等因素度量各上市银行的系统性风险。研究结果表明,虽然资产规模、杠杆率和边际期望损失都是决定系统性风险的重要因素,但我国上市银行的系统性风险总体表现为:规模越大的银行,系统性风险也越大,即大型商业银行的系统性风险最大,股份制商业银行次之,城市商业银行的系统性风险最小。此外,三类商业银行的系统性风险随时间呈不同的变化趋势。Based on the marginal expected shortfall（MES）method,this paper calculates the Expected Marginal Shortfall（MES）of 14 Chinese listed banks using the DCC-GARCH model and a non-parametric estimation,and then measures the systemic risk of these banks.The results show that the asset size,the leverage ratio and the marginal expected shortfall are important factors in determining the systemic risk.The larger the size is,the higher the systemic risk is,that is to say,the systemic risk of a state-owned commercial bank is the highest,and that of a city commercial bank is the lowest;The systemic risk of the three types of commercial banks varies with time.

关 键 词：系统性风险 上市银行 边际预期损失 DCC-GARCH模型 

分 类 号：F830[经济管理—金融学]