风险传染下的银行业系统性风险防范与资本配置结构化应对

Systemic Risk Prevention and Structured Capital Allocation in Banking Industry under Risk Contagion

随着银行间网络关联不断深化,风险传染性与积累性更加突出,防范和化解银行业系统性风险尤为重要。在此背景下,本文研究了如何通过银行业资本配置的结构化调整,应对风险传染和系统性风险。相对现有研究大多考察如何确定银行适宜的资本水平,以及银行资本对其风险承担的影响,本文以银行业整体为研究对象,考察资本配置与系统性风险的结构化特征,为银行业风险管理提供新的思路。本文采用网络分析法刻画银行间风险传染过程,提出以系统性风险结构为锚,调整资本配置结构以提高两者匹配程度的结构化风险应对策略,并以中国16家上市银行为样本进行实证研究。研究发现:提高银行业资本配置与系统性风险在结构维度的匹配程度,可有效降低风险传染,改善系统性风险,验证了结构化风险应对策略的有效性。基于此,本文建议监管部门可基于银行业资本配置和系统性风险的结构化特征,实施更为精细的差异化资本监管,实现资本配置的结构化优化,提高银行间网络的风险抵御能力。

With the deepening of inter-bank network linkages,risk contagion and accumulation become more prominent.Thus it is particularly important to prevent and resolve systemic risks in banking industry.This paper studies how to deal with risk contagion and systemic risk through the structural adjustment of banking capital allocation.Most of the existing research examines how to determine the appropriate capital level of banks and the impact of bank capital on their risk-taking.This paper takes the whole banking industry as the object of study,examines the structural characteristics of capital allocation and systemic risk,and provides new idea for banking risk management.We use network analysis to describe the risk contagion process between banks,and propose a structured strategy to deal with risks,that is,using systemic risk structure as anchor,adjusting the capital allocation structure to improve the matching degree between those two.We also conducted an empirical study on 16 listed banks in China.It is found that improving the matching degree of capital allocation and systemic risk in the structural dimension can effectively reduce risk contagion,improve systemic risk,and verify the effectiveness of structured coping strategies.Therefore,this paper suggests that regulators can implement more fine differential capital regulation based on the structural characteristics of capital allocation and systemic risk in banking industry,realize the structural optimization of capital allocation and improve the risk resilience of inter-bank network.