中国上市银行的系统重要性评估——基于指标法的实证分析

Assessment of the Systematic Importance of Chinese Listed Banks——Indicator Approach Based Positive Analysis

本文阐述了"系统重要性银行"的由来以及评估银行系统重要性的指标法的演变过程,运用指标法分别按照国内和国际标准对目前中国16家上市银行的系统重要性进行了评估,实证结果表明:中国银行、工商银行、建设银行和农业银行是中国的系统重要性银行,交通银行在中国上市银行中的系统性风险贡献单独处于第二梯队,但从国际标准计算的角度来看,中国银行的系统性风险贡献明显大于其它三大国有商业银行,这也说明了同一家银行在不同的金融系统内其对系统性风险的贡献大小是不一样的。

This paper describes the origin of the'systemically important banks'and the evolution of indicator approach that is the assessment of the importance of the banking system.Using indicator approach,it assesses the systemic importance of China’s 16 listed banks in accordance with national and international standards.The results show that:the Bank of China,the Industrial and Commercial Bank of China,China Construction Bank and the Agricultural Bank of China are systemically important banks of China and the systemic risk contribution of Bank of Communications is in the second echelon of China’s listed banks.However,from the point of view of international standard calculation,the systemic risk contribution of the Bank of China is significantly greater than that of the other three state-owned commercial banks.This also indicates that the same bank’s contribution to systemic risk is different when it is in different financial systems.