商业银行系统TCTF风险信用冲击传导研究

The Network Conduction Analysis of Too-Connected-to-Fail Risk in Commercial Banking System of China

要确保银行体系的稳定性,仅仅关注任何一家银行的安全和稳健是远远不够的,很有必要考虑到银行间的关联效应所产生的溢出风险,即TCTF风险。网络传导分析法能够使监管部门通过跟踪直接金融关联导致的几轮外溢效应,分析银行体系资本受损情况,确定银行业系统性风险和脆弱性银行。通过对17家主要商业银行5年的信用冲击传导研究,发现尽管银行业经营稳健,但TCTF风险及脆弱性处于高位,银行关联的流动性需求旺盛,需要特别关注银行业流动性风险。

To maintain a stable banking system,it is far from enough to pay attention to a single bank’s safety and stability.The spillover effects of TCTF risk should be taken into consideration due to the correlations among banks.The network conduction analysis helps the supervision department analyze the capital damage,the systematic risk,and the vulnerability of the banking system through tracking the spillover effects within directly re-lated banks.By investigating the conduction of credit risk impact in 17 major commercial banks during the past 5 years,this paper demonstrates that the TCTF risk and its vulnera-bility stays in a high level,regardless of the steady banking industry.The result shows an exuberant demand for liquidity in banking system.Therefore,liquidity risk needs particu-lar attention in the banking industry.