基于MES测度我国银行业系统性风险

本文基于我国14家上市银行2007年10月7日至2012年5月31日的数据,运用边际期望损失(MES)方法,度量了我国银行业系统性风险贡献度,并在建立面板数据回归模型的基础上,探究了银行业系统性风险贡献度的影响因素。实证结果表明:2008年1月至2008年12月美国金融危机爆发期间,我国上市银行系统性风险明显高于平常时期,MES方法度量的结果比较符合实际情况;此外,无论是危机期间还是危机之后,我国大型国有商业银行的系统性风险贡献度都很小,而规模较小的股份制商业银行的系统性风险贡献度相对较大;通常,高风险银行的系统性风险贡献度也大。

Based on the data of China’s 14 listed banks from October 7, 2007 to 31 May, 2012, we use MES method to measure banking systemic risk contribution. And we build a panel data model to explore the factors which influence the bank’s systemic risk contribution. The empirical results show that from January 2008 to December 2008 during the United States financial crisis, the systemic risk contribution of China’s listed banks is significantly higher than other normal periods, and MES measure is suitable for China’s situation; whenever during or after the crisis, the systemic risk contribution of the large state-owned commercial banks is relatively lower than small scale joint-stock banks; generally, high-risk banks, are bearing a larger systemic risk contribution.