摘要
系统重要性金融机构的识别与监管是宏观审慎监管的重要内容,但国内外一直缺乏有效的方法。本文借鉴Brownlees and Engle(201 1)提出的系统性风险指数SRISK方法,在适当改进的基础上,计算了我国34家已上市金融机构的资本短缺程度。在此基础上,本文提出了界定系统重要性金融机构的标准,确定了系统重要性金融机构的名单。本文还发现商业银行与保险公司的实际杠杆率都要明显大于其适用杠杆率,因此监管部门有必要在对系统重要性金融机构实施最低资本充足率监管的同时,加强其审慎杠杆率的监管。
The identification and regulation of systemically important financial institutions is the key content of macroprudential supervision, but the effective and efficient methods have been deficient at home and abroad. This paper uses the systemic risk index （SRISK） proposed in Brownlees and Eagle （2011 ） , makes appropriate improvements, and calculates the expected capital shortage of China＇s 34 listed financial institutions. On this basis, this paper proposes the standard to identify the domestic systemically important financial institutions （ D - SIFIs） , and determines the list of the D - SIFIs of China. The paper also finds that the actual leverage of commercial banks and insurance companies is significantly greater than the applicable leverage. Thus supervi- sion department should not only implement the regulation and supervision of minimum capital adequacy ratio for SIFIs, but also strengthen the prudential supervision of the leverage.
出处
《金融研究》
CSSCI
北大核心
2013年第9期56-70,共15页
Journal of Financial Research
基金
国家自然科学基金(71272183
71172066)
中央高校基本科研业务经费专项资金资助项目(NKZXB1147)的资助
关键词
系统性风险
系统重要性金融机构
预期资本缺口
边际期望损失
Systemic risk, Systemic risk index, Systemically important financial institutions, Expected capitalshortfall, Marginal expected shortfall
