财经理论与实践
財經理論與實踐
재경이론여실천
THE THEORY AND PRACTICE OF FINANCE AND ECONOMICS
2015年
3期
23-28
,共6页
Copula-CoVaR 模型%风险溢出%系统重要性银行附加资本
Copula-CoVaR 模型%風險溢齣%繫統重要性銀行附加資本
Copula-CoVaR 모형%풍험일출%계통중요성은행부가자본
Copula-CoVaR Model%Risk spillover%Systemically important banks additional capital
在 CoVaR 风险度量框架的基础上建立系统重要性银行附加资本计提机制，旨在将风险溢出与资本计提挂钩。运用 Copula-CoVaR 模型测算商业银行对银行体系的风险溢出效应，考虑到额外的资本对溢出风险吸收作用，在控制每一家银行对银行系统的风险溢出一致的基础上确定银行的资本充足水平，进而确定对应的系统重要性银行附加资本的计提比例。
在 CoVaR 風險度量框架的基礎上建立繫統重要性銀行附加資本計提機製，旨在將風險溢齣與資本計提掛鉤。運用 Copula-CoVaR 模型測算商業銀行對銀行體繫的風險溢齣效應，攷慮到額外的資本對溢齣風險吸收作用，在控製每一傢銀行對銀行繫統的風險溢齣一緻的基礎上確定銀行的資本充足水平，進而確定對應的繫統重要性銀行附加資本的計提比例。
재 CoVaR 풍험도량광가적기출상건립계통중요성은행부가자본계제궤제，지재장풍험일출여자본계제괘구。운용 Copula-CoVaR 모형측산상업은행대은행체계적풍험일출효응，고필도액외적자본대일출풍험흡수작용，재공제매일가은행대은행계통적풍험일출일치적기출상학정은행적자본충족수평，진이학정대응적계통중요성은행부가자본적계제비례。
This paper establishes an additional risk capital charge mechanism of systemically impor-tant banks on the basis of CoVaR risk measurement framework,aiming at the capital being able to cover the risk spillover accurately.We use the Copula-CoVaR model to measure commercial banks'risk spillo-ver effects and then determine their capital adequacy based on controlling each bank's systematic risk spillover consistently.Finally,according to its capital adequacy situation,the corresponding systemically im ortant banks additional ca ital char e ercenta e is determined.
