摘要
文章对我国商业银行系统性风险进行评估,采用系统性预期期望损失和边际预期期望损失两个测度变量,以此作为系统重要性指数,通过预期期望损失方法利用我国14家上市商业银行的面板数据评估我国商业银行系统性风险水平。实证结果表明:虽然国有银行系统重要性虽然占据主要地位,但系统性风险贡献排名却远低于其他商业银行,主要原因是国有银行的现金流更稳定,加上政府隐性担保及政策优惠对弱化系统性风险贡献度有很大帮助。另外我国中小城市商业银行更有可能带来系统性风险,因为股份制商业银行资产总规模虽然相对较小,但资产扩张速度过快、盈利大幅波动、资本充足率低且负债率较高,相比较国有银行更需要得到监管部门的重点监管。
This paper estimates systemic risk of commercial bank in our country by using systemic expected shortfall and marginal expected losses two measure variables as the systemic importance index, then we use the panel data of lg listed commercial banks in China to assess systemic risk level of Chinese commercial banks systemic by using expected shortfall loss method. The result shows that the importance of state-owned banking system occupies the dominant position,but systemic risk contribution is much lower than other commercial banks. The main reason is that state-owned banks have more stable cash flow, government＇s recessive guarantee and preferential policy, which help a lot to weaken the systemic risk contribution. Besides, the commercial banks in small cities of China are more likely to bring systemic risks for their assets rapid rate of expansion, volatility in earnings, low capital adequacy ratio and high debt ratio, even if their total size of assets are not so large. So compared with the state-owned banks, the commercial banks need more attention by China＇s financial supervision.
出处
《商业经济与管理》
CSSCI
北大核心
2014年第12期81-90,共10页
Journal of Business Economics
基金
国家社会科学基金重点项目"财政政策和信贷政策与产业政策的协调配合研究"(12AZD035)
国家自然科学基金创新群体"金融创新与风险管理"(71221001)
