本文選題：系統(tǒng)性風(fēng)險(xiǎn) + 測度　； 參考：《金融經(jīng)濟(jì)學(xué)研究》2017年03期

【摘要】：采用或有權(quán)益分析方法,以中國16家上市銀行2006~2016年間資產(chǎn)負(fù)債表數(shù)據(jù)和市場數(shù)據(jù)為基礎(chǔ)測度中國銀行業(yè)系統(tǒng)性風(fēng)險(xiǎn)。研究發(fā)現(xiàn),傳統(tǒng)外部風(fēng)險(xiǎn)事件階段性地推升了銀行風(fēng)險(xiǎn)水平,但國有大型商業(yè)銀行風(fēng)險(xiǎn)抵御能力較強(qiáng);而近年國內(nèi)經(jīng)濟(jì)環(huán)境變化打破了銀行原有的穩(wěn)健經(jīng)營局面,且城市商業(yè)銀行受到更大沖擊。引入風(fēng)險(xiǎn)相依性因素對中國銀行業(yè)系統(tǒng)性風(fēng)險(xiǎn)的測度表明,全球金融危機(jī)和后危機(jī)時期中國銀行業(yè)抗風(fēng)險(xiǎn)能力始終高于單一銀行的風(fēng)險(xiǎn)抵御能力,系統(tǒng)性風(fēng)險(xiǎn)整體可控;但在2012年后的"新常態(tài)"下,中國銀行業(yè)系統(tǒng)性風(fēng)險(xiǎn)飆升,針對單一銀行的監(jiān)管標(biāo)準(zhǔn)已無法有效識別系統(tǒng)性風(fēng)險(xiǎn)。建議將強(qiáng)化宏觀審慎監(jiān)管、改善經(jīng)營環(huán)境與提高盈利能力相結(jié)合,有效規(guī)避中國銀行業(yè)系統(tǒng)性風(fēng)險(xiǎn)。
[Abstract]:Based on the balance sheet data and market data of 16 listed banks in China, this paper uses contingent equity analysis method to measure the systemic risk of China's banking sector. It is found that the traditional external risk events have pushed up the risk level of banks in phases, but the risk resistance of large state-owned commercial banks is relatively strong. However, the changes in the domestic economic environment in recent years have broken the original stable management situation of banks. And urban commercial banks have been hit harder. The risk dependence factor is introduced to measure the systemic risk of China's banking industry. The results show that the global financial crisis and post-crisis Chinese banking industry has always been higher than the single bank's ability to resist risks, and the systemic risk is controllable. But in the "new normal" after 2012, systemic risk in China's banking sector soared, and regulatory standards for a single bank could no longer effectively identify systemic risk. It is suggested to strengthen macro-prudential supervision, improve the operating environment and increase profitability to effectively avoid systemic risks in China's banking sector.
【作者單位】： 濟(jì)南大學(xué)商學(xué)院;
【分類號】：F832.33

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