基于系统整体性的商业银行系统重要性评估方法

Assessing Commercial Banks' Systemic Importance Based On the View of the Systemic Entirety

从系统整体出发,对银行业系统性风险诱发机制进行分析,考察系统外部冲击和系统内部传染两种诱因作用下银行业的系统性风险。在此基础上,构造出银行的内部脆弱程度指标,以反映系统内部的相互作用对单家银行的影响程度;并在测算系统性风险时同时考虑了相关银行和其存款客户遭受的损失,根据这两方面的损失采用夏普利值计算各银行对系统性风险的贡献,以此评估各银行的系统重要性。研究结果表明,商业银行的资产规模及其与其他银行的关联性是影响商业银行系统重要性的重要因素。

In view of the systemic entirety, the induced mechanisms of the banking systemic risk has been analyzed and investigated the effects from the external shocks and internal infections in the system on the banking systemic risk. On this basis, the bank＇s internal vulnerability index is constructed,which reflects the effect of interaction within the system on a single bank; In the measurement of systemic risk, both the loss of non-bank creditors and its bank creditors have been taken into account. According to these two kinds of loss, every bank＇s contribution to sys- temic risk with Shapley value is computed to evaluate their systemic importance. Empirical re- sults suggest that bank＇s size and its correlation with other banks in the system are important fac- tors which affect its systemic importance.