本文關(guān)鍵詞：中國非銀行金融機(jī)構(gòu)系統(tǒng)重要性再評估——基于風(fēng)險(xiǎn)倍率擴(kuò)增綜合指標(biāo)，由筆耕文化傳播整理發(fā)布。

中國非銀行金融機(jī)構(gòu)系統(tǒng)重要性再評估——基于風(fēng)險(xiǎn)倍率擴(kuò)增綜合指標(biāo)

[1] [2] [3]

《Studies of International Finance》

文章摘要：非銀行金融機(jī)構(gòu)作為整個(gè)金融部門的重要組成部分,其系統(tǒng)重要性問題對宏觀金融風(fēng)險(xiǎn)管理的理論與實(shí)踐均具有重要意義。鑒于國內(nèi)現(xiàn)有研究往往忽視或因規(guī)模因素忽視對非銀行金融機(jī)構(gòu)的評估,以及測算方法因存在系列缺陷尚未達(dá)成一致,筆者嘗試圍繞風(fēng)險(xiǎn)倍率擴(kuò)增指數(shù)、規(guī)模和復(fù)雜性影響因素,以最大熵客觀賦權(quán)后形成評估系統(tǒng)重要性機(jī)構(gòu)的綜合指標(biāo),對現(xiàn)有評估方法形成改進(jìn)。研究分析了引入非銀行金融機(jī)構(gòu)后相對于傳統(tǒng)評估結(jié)果的差異．并進(jìn)一步給出不同梯隊(duì)非銀行金融機(jī)構(gòu)的具體評估數(shù)值。結(jié)果表明，中國平安、招商證券、中國人壽和中信證券等非銀行金融機(jī)構(gòu)的系統(tǒng)重要性往往顯著高于相關(guān)銀行，，監(jiān)管部門亦需重視對非銀行金融機(jī)構(gòu)的監(jiān)管，相較于金融機(jī)構(gòu)業(yè)務(wù)復(fù)雜度因素,評價(jià)結(jié)果并不主要依賴于規(guī)模因素。

Abstr：The systemic importance of Non-banking financial institutions, which is an important part of the financial sector, is of great significance in terms of macro-financial risk management theory and practice. Since researches often ignore or give up the non-banking financial institutions because of scale factors, and the measurements can not reach a consensus due to a series of defects, this paper tries to improve the existing evaluation methods with the generalized max entropy endow- ing weight and simulated annealing algorithm based on the risk amplified index, in order to compared the evaluation results in SIFIs both with and without non-banking financial institutions. What＇s more, the paper also gives the specific evaluation val- ues of non-banking financial institutions in different echelons. The resuhs show that the systematic importance of some non- banking financial institutions, such as Ping An Insurance, China Merchants Securities, China Life Insurance and Citic Securi- ties, is often significantly higher than the related banks. Regulators should also pay more attention to the regulation of non- banking financial institutions. The research also shows that the evaluation results do not mainly depend on the scale factors, compared with the complexity factors of financial institutions.

文章關(guān)鍵詞：

Keyword：:Non-banking Financial Institutions Systemic Importance Risk Amplified Index Generalized Max En-tropy Simulated Annealing Algorithm

課題項(xiàng)目：本文為國家自然科學(xué)基金青年項(xiàng)目“復(fù)雜網(wǎng)絡(luò)結(jié)構(gòu)下貨幣量值的系統(tǒng)性金融風(fēng)險(xiǎn)測控體系構(gòu)建研究”（71103126）的階段性成果,并同時(shí)得到天津財(cái)經(jīng)大學(xué)優(yōu)秀青年學(xué)者培育計(jì)劃資助.

  本文關(guān)鍵詞：中國非銀行金融機(jī)構(gòu)系統(tǒng)重要性再評估——基于風(fēng)險(xiǎn)倍率擴(kuò)增綜合指標(biāo)，由筆耕文化傳播整理發(fā)布。