CRT市场与中国商业银行的系统性风险

Credit Risk Transfer and Systemic Risk of Commercial Banks

美国次贷危机使学界和业界都开始关注信用风险转移机制及其影响,在金融危机日趋频繁的背景下,探讨中国CRT市场发展状况及其对银行系统性风险的影响具有重要意义。本文利用中国上市银行的面板数据,实证研究贷款转让对银行系统性风险的影响,研究发现贷款转让行为会提高商业银行的系统性风险,而通过贝塔的分解,发现系统性风险水平的提高并非源自银行个体风险水平的提高,而是源自贷款转让导致的商业银行与市场相关程度的提高。

Studies are beginning to concern the credit risk transfer mechanism and its impact after U.S. sub prime mortgage crisis. This paper tries to study Chinese CRT market and its impact on banking systemic risk. We use panel data of Chinese listed banks to research on loan sale market and its impact on systemic risk. Our study finds that loan sale will increase systemic risk. Using the technic of beta decomposition, we find that the raising of banking systemic risk is not from individual banks but due to a higher level of correlation with market.