CAJ | 학술논문

系统性风险一直以来是学术界研究的前沿问题。基于拓展的CCA方法本文研究了金融危机后我国商业银行的系统性风险。本文利用2007年第四季度到2012年第三季度上市银行的股票市场数据和财务报表数据,构建了具有前瞻性特征的隐含资产波动率、ADD、WDD、PDD、政府隐性担保等系统性风险日频指标序列,以能刻画银行间资产联动性的PDD和ADD之差以及政府隐性担保为基础,分析了我国大型商业银行、股份制商业银行以及银行业系统性风险的动态演变特征,研究发现银行体系的系统性风险受到国内外经济金融形势的显著影响,股份制商业银行的风险要小于大型银行,2012年第三季度银行业系统性风险呈现出增大的趋势。基于拓展的CCA方法的系统性风险指标综合了市场信息和财务报表信息,对市场信息反应迅速,能动态地刻画银行体系的风险状况。
계통성풍험일직이래시학술계연구적전연문제。기우탁전적CCA방법본문연구료금융위궤후아국상업은행적계통성풍험。본문이용2007년제사계도도2012년제삼계도상시은행적고표시장수거화재무보표수거,구건료구유전첨성특정적은함자산파동솔、ADD、WDD、PDD、정부은성담보등계통성풍험일빈지표서렬,이능각화은행간자산련동성적PDD화ADD지차이급정부은성담보위기출,분석료아국대형상업은행、고빈제상업은행이급은행업계통성풍험적동태연변특정,연구발현은행체계적계통성풍험수도국내외경제금융형세적현저영향,고빈제상업은행적풍험요소우대형은행,2012년제삼계도은행업계통성풍험정현출증대적추세。기우탁전적CCA방법적계통성풍험지표종합료시장신식화재무보표신식,대시장신식반응신속,능동태지각화은행체계적풍험상황。
Systemic risk has been always the frontier project in academic research. Based on extended CCA method, this paper researches the systemic risk of Chinese banking system after the financial crisis. Combining the balance sheet and equity market data for the period between fourth quarter 2007 and third quarter 2012, it builds the daily systemic risk measures with forward-looking property, which include the volatility of implied asset, ADD, WDD, PDD and government＇s implicit guarantee. It analyses the dynamic revolution of systemic risk of large commercial banks, joint-stock commercial banks and the banking system based on government＇s implicit guarantee and PDD-ADD which can captures the co- movement of the banks ＇ assets. It finds that the risk of banking system is significantly affected by the foreign and domestic economic conditions, the risk of joint-stock banks is smaller than the large banks, and the systemic risk is increasing in the third quarter 2012. The systemic risk measures from the extended CCA approach, which combines the market information and balance sheet information, are sensitive to market information and can dynamically capture the systemic risk of the banking system.