基于SRISK指标的中国银行业系统性风险度量研究

A Systematic Risk Measure of the Chinese Banking Industry Based on SRISK

防范化解系统性金融风险的首要任务是构建有效的系统性金融风险度量指标.本文采用2011年1月至2019年12月中国16家商业银行数据与沪深300日度收益率,通过蒙特卡罗模拟构造在市场持续下跌的情况下银行业的预期资金缺口指标——SRISK,从微观、中观、宏观三个方面对风险排名、行业间风险传染、宏观经济指标预测性开展实证研究.研究发现:1)SRISK指标能够识别系统重要性机构,该指标下的风险排名具有稳健性;2)不同类别的商业银行对实体行业产生不同影响,五大国有银行对全行业具有资金缺口传染性;3)SRISK指标对宏观经济指标,如生产者价格指数、零售物价指数具有短期预测性,可提前2~3个月反映居民消费价格指数变动趋势.本研究具有重要的应用价值,一方面可将SRISK指标纳入风险测度体系,加强对银行业的审慎监管;另一方面可利用SRISK指标在银行-行业上的敏感性,对不同银行实行差异化管理.

Developing effective systematic risk measures plays an important role in preventing systematic risk.Based on detailed information of 16 Chinese commercial banks and daily returns of China Securities Index(CSI)300 from Jan-2011 to Dec-2019,we estimate the systematic risk measure of SRISK for the Chinese banks,which is the expected shortfall of a bank conditional on a prolonged market decline,by means of Monte Carlo simulations.The SRISK is applied to reveal risk ranking of banks,uncover risk contagion among industries,and predict macroeconomic indicators.Our results highlight that:1)SRISK delivers robust rankings of systematically important banks;2)Despite the fact that some commercial banks are in the same category,they have heterogeneous effects on different industries.State-owned banks are contagious to the entire industry;3)SRISK can be used to predict PPI and RPI in short term.It is also capable to predict CPI in 2~3 months.Our results indicate that SRISK not only can be incorporated into the risk management system to strengthen prudential supervision of the banking industry,but also satisfies the requirements of macroprudential supervision due to its bank-industry sensitivity.