中国银行业系统性风险研究及监管建议——基于16家商业银行数据的CoVaR实证分析  

Research and Regulatory Suggestion of Systemic Risk in China’s Banking Sector——An Empirical Research Based on CoVaR Analysis for 16 Banks

作　　者：薛高 XUE Gao(Xi'an Branch PBC,Xi'an Shaanxi 710075)

机构地区：[1]中国人民银行西安分行

出　　处：《西部金融》2019年第3期45-49,56,共6页West China Finance

摘　　要：本文详细介绍系统性风险的定义、监管现状和测量方法,通过研究我国16家上市银行的条件风险价值(CoVaR)来分析银行业的系统性风险,进而为监管机构提供有价值的参考建议。In November 2018, the People's Bank of China issued the 《Guidance on Improving the Supervision of Systemically Important Financial Institutions》 which determined the measurement methods and processes of China's SIFIs, opening a new era of systemic financial risk prevention in China. This paper is to study the systemic risks of China’s banking sector by examining the conditional value at risk (CoVaR) for 16 publicly-listed Chinese commercial banks, and therefore to provide helpful information for regulatory authorities.

关 键 词：CoVaR 系统性风险 宏观审慎监管 

分 类 号：F831.5[经济管理—金融学]