宏观审慎监管框架下银行系统性风险传染测度研究

Research on bank measurement of systematic risk contagion under prudent supervision

次贷危机的爆发并在全球范围内迅速蔓延凸显了研究一国系统性风险传染效应的必要性和紧迫性。为了从全局的视角对银行系统的潜在损失进行衡量,文章借鉴投入产出分析中列昂惕夫逆矩阵求解的思路对传统矩阵法进行改进,求解风险传染逆矩阵,构建银行风险传染测度模型;并运用该模型对我国银行系统性风险传染进行测度,结果显示危机传染具有明显的乘数放大效应,核心资本和损失率的大小是银行能否承受风险的关键。为了确保银行能更好地抵御系统性风险,监管当局应实施宏、微观审慎监管并重,同时加强监管的国际合作。

The outbreak of subprime mortgage crisis which was spreading rapidly on a global scale highlights the necessity and urgency of studying a country＇s risk contagion. In order to measure the potential losses in the banking system from a global perspective, this paper constructs a risk contagion inverse matrix from the Leontief In- verse Matrix of input - output analysis to improve the traditional matrix method and builds a model to measure the contagion effect due to interbank exposures. Then, the date of the banking system of China is used to perform the simulations. The result indicates that contagion could destroy a sizable proportion of the banking system in terms of total assets. The amont of core capital and loss rate are key factors for banks to survive the risk. In order to ensure that banks are better able to withstand systemic risk, Supervisors should pay attention to macro - prudential and mi- cro- prudential suoervision and strengthen international cooperation on supervision.