本文選題：系統(tǒng)重要性金融機構(gòu)　切入點：邊際期望損失　出處：《武漢金融》2017年08期

【摘要】：本文比較了MES、SRISK和CES三種金融機構(gòu)系統(tǒng)重要性評估方法的有效性和適用性,并評估了中國上市金融機構(gòu)系統(tǒng)重要性。研究表明在均使用公開市場數(shù)據(jù)進行分析的條件下,MES和CES指標時效性較好;SRISK對于綜合規(guī)模、杠桿率等信息的評估結(jié)果更可靠,時效性略差;SRISK和CES樣本外預測效果較好。本文以SRISK指數(shù)為基礎(chǔ),參考MES和CES指標,按系統(tǒng)重要性將中國金融機構(gòu)分為三大類,商業(yè)銀行貢獻了系統(tǒng)性風險的絕大部分,保險公司系統(tǒng)重要性有上升趨勢。本文還發(fā)現(xiàn)樣本期內(nèi)金融機構(gòu)系統(tǒng)重要性是動態(tài)變化的,具有明顯周期性特征,系統(tǒng)性風險集中在少數(shù)金融機構(gòu)。監(jiān)管機構(gòu)需要保持動態(tài)監(jiān)測,加強金融機構(gòu)宏觀審慎監(jiān)管。
[Abstract]:In this paper, we compare the validity and applicability of MESS-SRISK and CES, and evaluate the systematical importance of listed financial institutions in China.The results show that under the condition of using open market data for analysis, the time-efficiency of mes and CES indexes is better. The evaluation results of comprehensive scale, leverage ratio and other information are more reliable, and the prediction effect of CES and CES is better than that of SRISK and CES.On the basis of SRISK index, referring to MES and CES, this paper divides Chinese financial institutions into three categories according to systematical importance. Commercial banks contribute most of systemic risk, and the systemic importance of insurance companies tends to rise.It is also found that the importance of financial institutions in the sample period is dynamic, with obvious cyclical characteristics, and the systemic risk is concentrated in a few financial institutions.Regulators need to maintain dynamic monitoring and strengthen macro-prudential supervision of financial institutions.
【作者單位】： 河北大學;
【基金】：作者主持的國家社科基金青年項目“保險業(yè)系統(tǒng)性風險與金融穩(wěn)定關(guān)系研究”(14CJY073)階段性成果
【分類號】：F832.33;F842.3

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本文編號：1719685