相互关联性、风险溢出与系统重要性银行识别

On the Recognition of Interconnectedness,Risk Spillover Effect and Systemically Important Bank

在银行体系中,银行与银行之间存在业务往来,一家银行陷入困境时,其风险对其他银行及整个银行系统具有溢出效应。本文采用CoVaR方法,结合分位数回归技术,量化了我国上市银行之间的风险溢出效应及单个银行对整个银行系统的风险贡献率,研究结果表明,在q=0.025的情况下,中国银行对整个系统性风险贡献率最大,其次是建设银行、工商银行。本文的研究可以为监管部门识别系统重要性银行提供参考。

In the banking system, there are linkages among banks for their business dealings. The risk of a bank being under distress has a spillover effect to other banks and even the whole banking system. In this paper, based on CoVaR and Quantile Regression Theory, we quantify the spillover effect among our listed banks and one bank＇s marginal contribution to the systemic risk in our country. The result indicates that the highest mar- ginal contribution to the systemic risk is Bank of China where q is equal to 0. 025, and China Construction Bank, and Industrial and Commercial Bank rank the top three. This study can help the regulatory authorities to determine systemic important banks as a reference.