本文選題：商業(yè)銀行　切入點(diǎn)：上市銀行　出處：《金融論壇》2011年09期

【摘要】：系統(tǒng)重要性銀行作為國(guó)際銀行監(jiān)管機(jī)構(gòu)提出的新概念,其評(píng)估方法還未達(dá)成一致。本文根據(jù)巴塞爾委員會(huì)、金融穩(wěn)定理事會(huì)和中國(guó)銀監(jiān)會(huì)等部門(mén)的監(jiān)管理念,從規(guī)模、關(guān)聯(lián)性和復(fù)雜性出發(fā),對(duì)附帶破壞指數(shù)CDI做出改進(jìn),采用多變量極值模型和規(guī)模加權(quán)的穩(wěn)定尾部相依函數(shù),評(píng)估中國(guó)上市銀行的系統(tǒng)重要性。研究結(jié)果表明,金融危機(jī)期間,中國(guó)上市銀行股票收益極端值之間的關(guān)聯(lián)性明顯增加,幾大國(guó)有控股銀行的系統(tǒng)重要性程度高于其他銀行。因此,從宏觀審慎和防范系統(tǒng)風(fēng)險(xiǎn)的角度出發(fā),應(yīng)著重加強(qiáng)對(duì)幾大國(guó)有控股銀行的監(jiān)管,避免"大而不能倒"的道德風(fēng)險(xiǎn),減少社會(huì)成本。
[Abstract]:The new concept of systemically important banks as international banking regulators proposed, the evaluation methods have not reached consensus. According to the Basel Committee, the financial stability board and Chinese CBRC and other departments of the regulatory philosophy, from the scale of relevance and complexity, the damage index of CDI with improved stability tail using multivariate extreme value model and weighted size dependent function, the importance of evaluation system of listed banks China. The results show that, during the financial crisis, association of Chinese listed bank stock returns between extreme values increased significantly, the importance of system several large state-owned banks is higher than that of other banks. Therefore, from the perspective of macro Prudential and risk prevention systems point of view, should be to strengthen the focus on several major state-owned banks, to avoid the "too big to fail" moral risk, reduce the social cost.

【作者單位】： 重慶大學(xué)經(jīng)濟(jì)與工商管理學(xué)院金融系;重慶大學(xué)經(jīng)濟(jì)與工商管理學(xué)院;
【基金】：國(guó)家社會(huì)科學(xué)基金(09BJL024) 重慶市自然科學(xué)基金(2009BB2042)資助
【分類(lèi)號(hào)】：F832.2

【參考文獻(xiàn)】

相關(guān)期刊論文 前8條

1 高志勇;;系統(tǒng)性風(fēng)險(xiǎn)與宏觀審慎監(jiān)管——基于美國(guó)銀行業(yè)的實(shí)證研究[J];財(cái)經(jīng)理論與實(shí)踐;2010年03期

2 巴曙松;王t熲，

本文編號(hào)：1658896