金融科技对商业银行系统性风险的溢出效应  

The Spillover Effect of Financial Technology on the Systemic Risk of Commercial Banks

作　　者：熊彬[1] 邓成波 XIONG Bin;DENG Cheng-bo(School of Management and Economics,Kunming University of Science and Technology,Kunming 650093)

机构地区：[1]昆明理工大学管理与经济学院

出　　处：《财务与金融》2023年第4期41-48,71,共9页Accounting and Finance

基　　金：2021年度云南省国家自然科学基金项目:云南高等职业教育国际化对策研究(SYSX201905)。

摘　　要：近年来,金融科技逐渐成为我国银行体系进行风险控制的新工具。以我国A股市场上市商业银行为样本,构建GARCH-EVT-Clayton-Copula-Co Va R模型,测量样本区间内16家商业银行的金融科技发展水平及系统性风险溢出值,对金融科技与商业银行系统性风险之间的关联机制和影响效应进行理论与实证分析。研究发现,商业银行通过金融科技进行风险控制存在增强和减弱两条路径。进一步分析发现,金融科技能降低商业银行系统性风险溢出;商业银行规模、总资产收益率、存款负债比、杠杆率以及非利息收入占比等因素也对商业银行系统性风险溢出有着不同程度的影响。In recent years,financial technology has gradually become a new tool for risk control in China's banking system.Taking listed commercial banks in China's A-share market as samples,the GARCH-EVT-Clayton-Copula-CoVaR model was constructed to measure the financial technology development level and systemic risk spillover value of 16 commercial banks within the sample range,this paper makes a theoretical and empirical analysis of the correlation mechanism and impact effect between financial technology and systemic risk of commercial banks.The study found that there are two paths for commercial banks to strengthen and weaken risk control through financial technology.Further analysis shows that financial technology can reduce the systemic risk spillover of commercial banks;factors such as the scale of commercial banks,return on total assets,deposit liability ratio,leverage ratio and the proportion of non-interest income also have different degrees of influence on the systemic risk spillover of commercial banks.

关 键 词：金融科技 系统性风险溢出 GARCH-EVT-Clayton-Copula-CoVaR 

分 类 号：F832[经济管理—金融学]