南开经济研究
南開經濟研究
남개경제연구
Nankai Economic Studies
2013年
3期
110~122
,共null页
上市银行 系统重要性金融机构 成分预期损失 系统风险
上市銀行 繫統重要性金融機構 成分預期損失 繫統風險
상시은행 계통중요성금융궤구 성분예기손실 계통풍험
Listed Commercial Banks; Systemic Importance of Financial Institutions; Component Expected Shortfall; Systematic Risk
金融机构系统重要性水平的评估是宏观审慎监管的首要任务。本文将整体预期损失作为系统风险的度量，使用成分预期损失法利用市场数据将系统风险分解为单个机构的系统风险贡献，以此作为系统重要性指数，评估我国上市商业银行系统重要性水平，并分析其系统重要性指数的动态特征，计算其对系统风险的贡献百分比，最后从规模、可替代性、复杂性与关联性的角度分析影响我国上市银行系统重要性水平的因素，并给出对策建议。
金融機構繫統重要性水平的評估是宏觀審慎鑑管的首要任務。本文將整體預期損失作為繫統風險的度量，使用成分預期損失法利用市場數據將繫統風險分解為單箇機構的繫統風險貢獻，以此作為繫統重要性指數，評估我國上市商業銀行繫統重要性水平，併分析其繫統重要性指數的動態特徵，計算其對繫統風險的貢獻百分比，最後從規模、可替代性、複雜性與關聯性的角度分析影響我國上市銀行繫統重要性水平的因素，併給齣對策建議。
금융궤구계통중요성수평적평고시굉관심신감관적수요임무。본문장정체예기손실작위계통풍험적도량，사용성분예기손실법이용시장수거장계통풍험분해위단개궤구적계통풍험공헌，이차작위계통중요성지수，평고아국상시상업은행계통중요성수평，병분석기계통중요성지수적동태특정，계산기대계통풍험적공헌백분비，최후종규모、가체대성、복잡성여관련성적각도분석영향아국상시은행계통중요성수평적인소，병급출대책건의。
The assessment of Systemic Importance of financial institution is the primary task of macro-prudential regulation. This paper, with total expected loss as systematic risk measurement, decomposes systematic risk into systematic risk contribution of single institution by applying market data to CES, which is used as index of systemic importance to assess sys- temic importance level of listed commercial banks, analyzes their dynamic characters and calcu- lates their percentage contribution to systematic risk. Finally, the paper analyses factors influenc- ing systemic importance of listed commercial banks from size, substitutability, complexity and interconnectedness and gives suggestion.
