系统重要性、审慎工具与我国银行业监管

Systemic Importance,Prudential Tools and China Banking Regulation

本文采用Shapley值分解方法,基于银行在系统性事件中的参与度和对系统性风险的贡献度两种视角,对我国16家上市银行的系统重要性进行了测度,结果显示后者更适于评估银行的系统重要性水平,且银行规模是决定系统重要性的最关键因素。进而,依据本文提出并构建的"风险系数"法则,笔者对两种视角所适用的审慎工具进行了探讨,发现国有控股银行的费率应低于股份制银行和城商行,而系统重要性银行的附加资本要求则与其规模并不完全相关,结论为我国存款保险制度差别费率的确定和系统重要性银行附加资本要求的制定提供了参考。最后,从监管实践的角度出发,本文基于回归方程的分解框架,量化了规模、关联度、不可替代性和业务复杂度对系统重要性的贡献率,分别约为60%、20%、10%和5%,从而进一步验证了"大而不倒"和"联系太紧而不能倒"问题在我国银行监管实践中的相对重要性。

In this paper, we adopt the Shapley Value decomposition method to assess the systemic importance of 16 listed Chinese commercial banks based on the perspectives of banks＇ participation in systemic events and the contribution of individual bank to system - wide risk. The results show that contribution approach is more suitable for assessing the systemic importance of banks and size is the most important factor for bank systemic importance. Furthermore, we propose a new ＂risk coefficient rule＂ to investigate suitable prudential tools for these two perspectives in order to advice for the design of China＇ s deposit insurance premium rates and additional capital requirements for China＇ s D - SIBs. Our findings indicate that the fair and reasonable deposit insurance premium rates should be differentiated and additional capital requirement of D - SIBs is not strictly correlated with size. Finally, this paper quantifies the contribution of size, interconnectedness, substitutability and complexity to systemic importance from the perspective of regulatory practices. Based on a decomposition procedure for regression analysis, we find the contribution ratios of the four dimensions are about 60%, 20%, 10% and 5%, which further validates the relative importance of the problems of ＂too big to fail＂ and ＂too interconnected to fail＂ in China banking regulatory practice.