中国上市金融机构系统性风险的“分摊”——基于边际预期损失模型的分析

The Systemic Risk Contribution of the Chinese Listed Financial Institutions——An Analysis Based on the MES Model

本文基于边际预期损失模型(MES),分析中国金融市场上市金融机构的相对系统重要性。实证结果表明,通过观察中国上市金融机构在非金融危机期间的边际预期损失值,可以判断出同期该金融机构在金融市场中的相对系统重要性,那些在非金融危机期间边际预期损失值较大、杠杆率较高的金融机构,其在金融危机爆发时对中国金融市场系统性风险的贡献度也相对较大,具有更强的负外部性。根据这一结果,边际预期损失法可以用于衡量中国上市金融机构的系统重要性,从而为确定中国系统重要性金融机构提供了参考。

Based on the MES （Marginal Expected Shortfall） model, this paper analyses the relative systemic importance of the listed financial institutions in China＇s financial markets. The empirical results show that the relative systemic importance of the Chinese listed financial institutions can be determined according to the MES value of the institutions during the non-financialcrisis. The institution, its MES value and leverage ratio are great, will make more contributions to the systemic risks of the China＇s financial markets during financial crisis, and it has stronger negative external effects. The results indicate the MES method can be used to measure the systemic importance of listed financial institutions, and it can be a recommended tool to determine the systemically important financial institutions.