摘要
在测度上市商业银行ΔCoVaR、MES和CES的基础上,使用Copula函数分析商业银行之间系统性风险贡献度的相关性。结果显示:上市商业银行系统性风险贡献度之间的相关系数非常高;单家商业银行系统性风险贡献度快速上升会导致银行系统性风险的增加,同时银行系统陷入困境对单家商业银行的影响较大;国有大型商业银行与其他商业银行相关系数的平均值并没有显著高于股份制商业银行和城市商业银行。系统性风险监管需要关注商业银行之间系统性风险贡献度的相关性,进而制定系统重要性金融机构管理框架。
Based on the measurement ofΔCoVaR,CES and MES for each listing commercial banks,the paper uses copulas to analyze the correlation of systemic risk contribution.Empirical results show that the correlation in Chinese banking system is very high and the increase of one commercial bank’s systemic risk contribution will increase the banking system risk.Once the financial system is in distress,individual banks will be affected.The average correlation between state-owned banks and other commercial banks is not evidently higher than that of joint-stock and city commercial banks.Systemic risk regulation should pay attention to correlation between systemic risk contribution among banks and construct management framework of systemic important financial institutions.
出处
《上海立信会计金融学院学报》
2019年第6期5-16,共12页
Journal of Shanghai Lixin University of Accounting and Finance
基金
教育部人文社会科学基金项目“货币政策与宏观审慎监管协同机制及有效性检验”（19YJC790088）
