国际金融研究
國際金融研究
국제금융연구
Studies of International Finance
2013年
2期
47~57
,共null页
系统重要性银行 极值理论 宏观审慎监管
繫統重要性銀行 極值理論 宏觀審慎鑑管
계통중요성은행 겁치이론 굉관심신감관
Systemic Important Bank; Extreme Value Theory; Macro-prudential Supervision
金融危机的爆发凸显了识别和监管系统重要性金融机构的重要性，本文采用多变量极值模型，运用国内14家上市银行股票市场日收益率数据，对各上市银行的系统重要性做了静态和动态评估。研究结果表明，国内银行系统重要性排序与银行规模基本一致，几大国有控股银行系统重要性排序靠前。金融危机以来，所有银行的系统性影响指数（SII）和附带破坏指数（CDI）值都呈现出先升后降的特点，在某种程度上表明银行业系统性风险增大。总体上看，不同时期国内银行SII值和CDI值计算结果均远高于相关研究中以国外银行为样本的计算结果，这一方面说明防范系统性风险应成为我国金融监管的重点，另一方面也说明中国银行业体系可能存在自身的特殊性。
金融危機的爆髮凸顯瞭識彆和鑑管繫統重要性金融機構的重要性，本文採用多變量極值模型，運用國內14傢上市銀行股票市場日收益率數據，對各上市銀行的繫統重要性做瞭靜態和動態評估。研究結果錶明，國內銀行繫統重要性排序與銀行規模基本一緻，幾大國有控股銀行繫統重要性排序靠前。金融危機以來，所有銀行的繫統性影響指數（SII）和附帶破壞指數（CDI）值都呈現齣先升後降的特點，在某種程度上錶明銀行業繫統性風險增大。總體上看，不同時期國內銀行SII值和CDI值計算結果均遠高于相關研究中以國外銀行為樣本的計算結果，這一方麵說明防範繫統性風險應成為我國金融鑑管的重點，另一方麵也說明中國銀行業體繫可能存在自身的特殊性。
금융위궤적폭발철현료식별화감관계통중요성금융궤구적중요성，본문채용다변량겁치모형，운용국내14가상시은행고표시장일수익솔수거，대각상시은행적계통중요성주료정태화동태평고。연구결과표명，국내은행계통중요성배서여은행규모기본일치，궤대국유공고은행계통중요성배서고전。금융위궤이래，소유은행적계통성영향지수（SII）화부대파배지수（CDI）치도정현출선승후강적특점，재모충정도상표명은행업계통성풍험증대。총체상간，불동시기국내은행SII치화CDI치계산결과균원고우상관연구중이국외은행위양본적계산결과，저일방면설명방범계통성풍험응성위아국금융감관적중점，령일방면야설명중국은행업체계가능존재자신적특수성。
The explosion of the financial crisis highlights the importance of the identification and regulation of systematically important financial institutions. Based on the daily return data from the stock market of 14 domestic listed banks, the paper gives both static and dynamic evaluations of the systematical importance of the listed banks using multivariate extreme value model. The result shows that the order of the systematical importance of domestic banks is similar to that of the bank size, and banks with high importance ranks are several big state-controlled banks. Since the financial crisis, all the banks＇ data of SII and CDI have presented a Characteristic of falling after rising, and it reveals in a way that the systematical risk of banks are increased. Overall, the calculations of domestic banks＇ SII and CDI in different periods are much greater than those in relevant researches with foreign banks as samples. On one hand, this shows the guard against systematical risk should become the focus of China＇s financial supervision. On the other hand, the Chinese banking system may have its own specificity.
