系统性金融风险中我国大型商业银行的“贡献”度衡量

The Measure of the "Contribution" of Chinese Large-scaled Commercial Banks to Systemic Financial Risk

面对境内外的资产冲击,我国五大国有商业银行的破产顺序如何,是监管者值得关注的问题。对此,本文根据2012年诺贝尔经济学奖的获得者之一夏普利(Lloyd Shapley)的合作博弈理论,引入夏普利指数模型衡量单个金融机构对系统性风险的贡献模型,该模型用于对银行体系从稳定到不稳定的转变过程中发挥关键作用的银行的识别。在理论建模的基础上,本文采用夏普利指数实证衡量和测度了中国单个大型银行对系统性风险的"贡献",据以判断中国的系统重要性银行,以便监管机构对系统重要性金融机构设置更加严格的监管指标。

The bankruptcy order of China's five large state-owned commercial banks when confronted with the impact of domestic and foreign assets is a question that begs the attention of regulators. In this regard, the paper refers to the cooperative game theory of Lloyd Shapley, one of the winners of the 2012 Nobel Prize, and introduces Shapley index model to measure the contribution model of individual financial institution to sys-temic risk, which is used to recognize the banks exerting key roles during the transition of banking system from stable to instable states. On this basis, the paper uses Shapley index to empirically evaluate and measure the 'contribution' of China's individual large bank to systemic risk, thus recognizes the systemically important banks in China, so that the regulatory institutions could set more stringent regulatory indicators for systemi-cally important financial institutions.