我国上市商业银行系统重要性评估与影响因素研究--基于预期损失分解视角

The Assessment and Influencing Factor Analysis of Systemic Importance of Listed Commercial Banks in China:Based on the Perspective of the Decomposition of Expected Shortfall

金融机构系统重要性水平的评估是宏观审慎监管的首要任务。本文将整体预期损失作为系统风险的度量,使用成分预期损失法利用市场数据将系统风险分解为单个机构的系统风险贡献,以此作为系统重要性指数,评估我国上市商业银行系统重要性水平,并分析其系统重要性指数的动态特征,计算其对系统风险的贡献百分比,最后从规模、可替代性、复杂性与关联性的角度分析影响我国上市银行系统重要性水平的因素,并给出对策建议。

The assessment of Systemic Importance of financial institution is the primary task of macro-prudential regulation. This paper, with total expected loss as systematic risk measurement, decomposes systematic risk into systematic risk contribution of single institution by applying market data to CES, which is used as index of systemic importance to assess sys- temic importance level of listed commercial banks, analyzes their dynamic characters and calcu- lates their percentage contribution to systematic risk. Finally, the paper analyses factors influenc- ing systemic importance of listed commercial banks from size, substitutability, complexity and interconnectedness and gives suggestion.