摘要
本文以条件在险价值法(CoVaR)为基础,通过引入状态变量模拟尾部风险的时变特性,采用市场化资产增长率等指标对中国14家上市银行的系统性风险进行了实证分析。研究表明,工商银行的系统性风险最大,平安银行最小;自次贷危机以来,中国上市银行的系统性风险呈逐步下降趋势。论文还采用商业银行自身的特质指标,结合向前的△CoVaR检测模型,对商业银行系统性风险进行了预测。研究发现,商业银行自身的VaR水平、杠杆率、股价净值比、规模等指标对其向前的系统性风险具有显著影响。本文的研究从逆周期缓冲角度为监管部门对银行系统性风险实施宏观审慎监管提供了有效帮助。
This paper analyzes the systemic risk of 14 listed Chinese commercial banks based on CoVaR measure by in- troducing state variables that capture the evolution of tail risk dependence over time and calculating growth rates of mar- keted - valued total financial assets, and finds that the maximum of systemic risk is Industrial and Commercial Bank of China, and the minimum is PingAn Bank. Moreover, after subprime crisis, the trend of sample banks＇ systemic risk is totally reduced over time. Furthermore, this paper also analyzes how the lagged banks characteristics impact systemic risk relied on forward -looking ~ CoVaR, a eountercyclical risk measure. And the VaR, leverage ratio, market -to - book equity ratio and size of banks have significant influence on it. This study gives some help to the supervisors for macro prudential regulation of banks systemic risk from the countercyelical buffer prospect.
出处
《中国软科学》
CSSCI
北大核心
2014年第4期25-42,共18页
China Soft Science
基金
国家自然科学基金(71373296
71232004
71272085)
国家社会科学基金(09BJL024)
教育部人文社会科学基金(12YJA630135)资助
