我国银行业系统性违约风险研究——基于Systemic CCA方法的分析

Research on Banking Systemic Risk of Default with Systemic-CCA Method

Systemic CCA方法综合考虑了极端时期机构间违约的尾部风险和相依结构,为度量金融部门系统性风险提供了新的方法。本文基于该模型选取国内五家大型银行A股和资产负债表数据,结合多元极值理论和极值Coupla函数,得到银行日损失数据的多元极值分布,计算出五家银行的联合违约概率和期望损失等风险指标。结果显示目前大银行的系统性违约风险在可控范围内,计算结果为度量政府对金融机构隐性担保额提供了量化依据。

Systemic CCA method takes into account of both the tail risk and dependence structure between fi- nancial institutions in times of crisis, hence provides a new method to measure the systemic risk of financial sectors. Five large banks are involved in the construction of multivariate extreme value distribution and the de- fault probability and expected loss are figured out, where default is assumed that at least one bank will break up. Results show the systemic default risk of big banks are in the controllable range, and the calculation results provides a quantitative basis to measure the amount of the implicit guarantee of the government.