CAJ | 학술논문

美国次贷危机使学界和业界都开始关注信用风险转移机制及其影响,在金融危机日趋频繁的背景下,探讨中国CRT市场发展状况及其对银行系统性风险的影响具有重要意义。本文利用中国上市银行的面板数据,实证研究贷款转让对银行系统性风险的影响,研究发现贷款转让行为会提高商业银行的系统性风险,而通过贝塔的分解,发现系统性风险水平的提高并非源自银行个体风险水平的提高,而是源自贷款转让导致的商业银行与市场相关程度的提高。
미국차대위궤사학계화업계도개시관주신용풍험전이궤제급기영향,재금융위궤일추빈번적배경하,탐토중국CRT시장발전상황급기대은행계통성풍험적영향구유중요의의。본문이용중국상시은행적면판수거,실증연구대관전양대은행계통성풍험적영향,연구발현대관전양행위회제고상업은행적계통성풍험,이통과패탑적분해,발현계통성풍험수평적제고병비원자은행개체풍험수평적제고,이시원자대관전양도치적상업은행여시장상관정도적제고。
Studies are beginning to concern the credit risk transfer mechanism and its impact after U.S. sub prime mortgage crisis. This paper tries to study Chinese CRT market and its impact on banking systemic risk. We use panel data of Chinese listed banks to research on loan sale market and its impact on systemic risk. Our study finds that loan sale will increase systemic risk. Using the technic of beta decomposition, we find that the raising of banking systemic risk is not from individual banks but due to a higher level of correlation with market.