南方金融
南方金融
남방금융
SOUTH CHINA FINANCE
2014年
12期
11-16,47
,共7页
鄢俊华%罗春蓉%刘轶
鄢俊華%囉春蓉%劉軼
언준화%라춘용%류질
金融风险%系统性风险%个体风险%系统性风险β值%VaR
金融風險%繫統性風險%箇體風險%繫統性風險β值%VaR
금융풍험%계통성풍험%개체풍험%계통성풍험β치%VaR
Financial Risk%Systemic Risk%Individual Risk%Systemic Risk Beta%VaR
本文使用系统性风险β值法度量我国上市银行的系统性风险以及上市银行对系统性风险的贡献度。研究结果表明，单个机构对系统性风险的贡献不仅取决于系统性风险β值，还受到其个体风险值的影响。总体而言，国有大型商业银行的系统性风险β值高于中小股份制商业银行，对系统性风险的边际贡献和影响也较大。但中小股份制商业银行抵御风险的能力相对较弱，尽管β值较小，一旦个体风险值急剧增加，其对系统性风险的影响也可能超过国有大型商业银行。因此，系统性风险的防范既要关注那些系统性风险β值大的银行，也要关注个体风险值可能出现剧烈波动的中小银行。
本文使用繫統性風險β值法度量我國上市銀行的繫統性風險以及上市銀行對繫統性風險的貢獻度。研究結果錶明，單箇機構對繫統性風險的貢獻不僅取決于繫統性風險β值，還受到其箇體風險值的影響。總體而言，國有大型商業銀行的繫統性風險β值高于中小股份製商業銀行，對繫統性風險的邊際貢獻和影響也較大。但中小股份製商業銀行牴禦風險的能力相對較弱，儘管β值較小，一旦箇體風險值急劇增加，其對繫統性風險的影響也可能超過國有大型商業銀行。因此，繫統性風險的防範既要關註那些繫統性風險β值大的銀行，也要關註箇體風險值可能齣現劇烈波動的中小銀行。
본문사용계통성풍험β치법도량아국상시은행적계통성풍험이급상시은행대계통성풍험적공헌도。연구결과표명，단개궤구대계통성풍험적공헌불부취결우계통성풍험β치，환수도기개체풍험치적영향。총체이언，국유대형상업은행적계통성풍험β치고우중소고빈제상업은행，대계통성풍험적변제공헌화영향야교대。단중소고빈제상업은행저어풍험적능력상대교약，진관β치교소，일단개체풍험치급극증가，기대계통성풍험적영향야가능초과국유대형상업은행。인차，계통성풍험적방범기요관주나사계통성풍험β치대적은행，야요관주개체풍험치가능출현극렬파동적중소은행。
We measure the systemic risk of China's listed banks by using the method of "systemic risk beta" in this paper. The results show that the contribution of systemic risk from individual bank's risk is not only based on the systemic risk beta, but also the individual risk. The systemic risk betas of the nationalized banks rank top so that they are more important in the banking system; the systemic risk betas of the joint-equity commercial banks and the city commercial banks are comparatively smaller with poorer capability in shielding against risks. However, the marginal contribution to the systemic risk of them can be greater than that of the nationalized banks in some time-point. So when supervising the banks, the banking supervisory authorities should not only take into account the banks which have high betas but also those financial institutions whose VaRs fluctuate sharply.
