基于Shapley Value方法的金融控股公司综合经营风险评估研究——以光大集团和中信集团为例  

Research on Risk Assessment of Financial Holding Company Based on Shapley Value Method:A Case Study of China Everbright Group and CITIC Group

作　　者：李志辉[1] 李源[1] 李政[1] 

机构地区：[1]南开大学经济学院金融学系,300071

出　　处：《南开经济研究》2015年第1期32-50,共19页Nankai Economic Studies

基　　金：国家社会科学基金重大项目"中国金融监管制度优化设计研究"(批准号:09&ZD037)和"金融风险度量的新理论与新方法及其在中国金融机构的应用研究"(批准号:14ZDB124)的资助

摘　　要：金融控股公司综合经营风险评估是审慎监管的重要内容。本文在微观层面上运用Shapley Value方法,评估了光大集团和中信集团等金融控股公司的金融子公司对整个集团的重要性程度,探讨了金融集团内部的风险结构,并对影响金融子公司重要性程度的因素进行了分析。结果表明,规模因素是影响金融子公司重要性程度的关键性因素,而规模调整重要性程度可以作为金融控股公司进行综合经营投资决策的依据。本文将对金融控股公司风险评估的研究从理论到实践推进了一步,提出了一套与实际数据相结合的评估方法,具有一定的现实意义。Comprehensive operation risk assessment of financial holding company is an important content of prudential supervision. In this paper, we use the Shapley Value method in micro level to assessment of the importance of financial subsidiaries the China Everbright Group and CITIC Group and explore the risk structure of financial group. We also analyze the factors that affect the importance degree of financial subsidiary. The results show that the size is a key factor affecting the importance degree of financial subsidiary and the size adjustment importance degree can be used as the reference of the financial holding company investment decision. This paper will the promote the research on financial holding company risk assessment from theory to practice a step forward and put forward an evaluation method combined with the actual data.

关 键 词：金融控股公司 综合经营 风险评估 ShapleyValue 

分 类 号：F832.3[经济管理—金融学]