估值踩踏与系统性金融风险防控——基于前瞻性偿付能力风险传染模型的分析  

Valuation Stampede and Systemic Financial Risk Prevention——Based on Forward-looking Solvency Contagion Model

作　　者：范小云 史攀 王博 FAN Xiao-yun;SHI Pan;WANG Bo(School of Finance,Nankai University,Tianjin 300350,China)

机构地区：[1]南开大学金融学院

出　　处：《中国工业经济》2021年第10期39-58,共20页China Industrial Economics

基　　金：国家社会科学基金重大项目“基于结构性数据分析的我国系统性金融风险防范体系研究”(批准号17ZDA074);国家自然科学基金面上项目“外部冲击对中国金融稳定的影响机理:不确定性与公共事件冲击视角”(批准号72073076)。

摘　　要：传染性是系统性风险的重要特征,基于中国金融实践研究金融风险的事前传染对于健全系统性风险防范体系、守住不发生系统性风险的底线意义重大。本文利用具有事前不确定性的网络模型研究中国银行系统的偿付能力风险传染,分析银行系统的崩溃机制,同时评估系统性风险水平变动情况。研究发现:破产不是损失传染的必要条件,银行对交易对手未来违约的预期有时会引发即期损失;银行对交易对手的价值重估具有网络效应,在外部冲击较大时会导致"估值踩踏"与银行系统崩溃;系统性风险主要受银行间关联性影响,2016年以来,随着金融监管加强,中国系统性风险总体水平显著降低;银行脆弱性与银行间杠杆有关,银行系统重要性与银行间资产规模有关。据此建议监管层要求银行制定明确的恢复与处置计划,稳定市场预期,避免"估值踩踏";同时加强同业创新监管,将银行同业控制在合理范围内;完善政策救助与政策干预框架,提高政策干预的科学性。Contagion is an important feature of systemic risk.It is important to study financial risk ex-ante contagion based on Chinese financial practice for improving the system of preventing systemic risk and guarding against systemic financial risk.In this paper,the solvency contagion risk in China’s banking system is studied using the network model with ex-ante uncertainty,and the collapse mechanism of the banking system is analyzed.What’s more,the evolution of systemic risk in China in recent years is also evaluated.We find bankruptcy is not a necessary condition for loss contagion.Banks’expectations for the counterparties’defaults in the future sometimes will lead to losses today.The revaluation for counterparties has network effects which will lead to valuation stampede and the collapse of banking system when the external shock is large.Systemic risk is mainly influenced by interbank connectedness.Since 2016,systemic risk in China has been reduced as financial regulation was strengthened.The vulnerability of banks is related to interbank leverage,and the systemic importance of banks is related to the size of their interbank assets.Finally,we suggest that regulators should ask banks to formulate recovery and resolution planning to stabilize market expectations and prevent valuation stampede.At the same time,regulators should also strengthen the supervision of interbank innovation and control interbank business within a reasonable range.Also,they should improve the framework for bail-out and policy intervention and make policy intervention more scientific.

关 键 词：风险传染 系统性风险 金融救助 NEVA模型 估值踩踏 

分 类 号：F120[经济管理—世界经济]