我国商业银行系统性风险预警研究  

Research on Systemic Risk Early Warning of Commercial Banks in China

作　　者：夏敏 韩文明 席俊颖 Xia Min;Han Wenming;Xi Junying(School of Statistics and Data Science,Xinjiang University of Finance&Economics;Tarim University)

机构地区：[1]新疆财经大学统计与数据科学学院 [2]塔里木大学

出　　处：《金融发展评论》2024年第11期16-29,共14页Financial Development Review

基　　金：新疆维吾尔自治区教育厅人文社科基地项目(项目编号:XJEDU2022XJ005);新疆财经大学校级科研基金高层次人才专项项目(项目编号:2022XGC071)的资助

摘　　要：商业银行的稳健运营和风险防控是金融稳定的重要保障。本文从宏观经济、金融市场环境、外部市场环境和银行系统共四个维度选取指标构建商业银行系统性风险预警指标体系,并利用神经网络分位数回归模型对商业银行系统性风险进行预警。研究发现:现阶段,我国商业银行具有一定的系统性风险,商业银行处于警戒状态。研究认为,为保障银行业的安全与稳定,监管部门应密切关注市场环境的变化,不断优化风险管理方案,加大对系统脆弱性银行、中小型银行的监管力度,实施差异化监管,建立健全金融风险监测和预警机制,及时发现和处置潜在风险。The sound operation and risk prevention and control of commercial banks are important guarantees for financial stability.In this paper,indicators are selected from four dimensions:macroeconomy,financial market environment,external market environment and banking system to construct the early warning index system of systemic risk of commercial banks,and the neural network quantile regression model is used to warn the systemic risk of commercial banks.The results show that at this stage,China's commercial banks have certain systemic risks,and commercial banks are in a state of high vigilance.According to the study,in order to ensure the safety and stability of the banking industry,the regulatory authorities should pay close attention to the changes in the market environment,continuously optimize the risk management plan,increase the supervision of systemically fragile banks,small and medium-sized banks,implement differentiated supervision,establish and improve the financial risk monitoring and early warning mechanism,and timely discover and deal with potential risks.

关 键 词：系统性风险 神经网络分位数回归 商业银行 风险预警 

分 类 号：F832.33[经济管理—金融学]