极端市场条件下我国金融体系系统性风险度量

Measuring Systemic Risk of China's Financial System under Extreme Condition

在中国金融体制深化改革过程中,实时监测金融体系系统性风险的来源和累积过程非常必要。本文基于EVT-GARCH-Co VaR模型,利用2008—2013年股票市场数据,对极端市场条件下银行业、证券业和保险业内单个金融机构对中国金融体系系统性风险的贡献及其随时间变动的趋势进行了动态测算。主要研究结论包括:1国有商业银行引致的系统性风险最大,证券公司最小,股份制商业银行和保险公司介于二者之间;2研究期内所有金融机构对系统性风险的贡献都有上升,尤其是国有商业银行,但金融风险在证券、保险和银行业间的传染效应还比较微弱;3工行、中行、建行和人寿保险具有显著的系统重要性,应进行全面综合监管。其他金融机构需按微观审慎原则加强其自身风险管理。

During the deepening reform of China＇ s financial system, it is necessary to monitor the source and accumulation of systemic risk in real time. Basing on the Chinese stock market data from 2008 to 2013 and the EVT- GARCH-CoVaR model, it measures the contribution of single financial institution in banks, security and insurance industries to China＇ s financial systemic risk and its time-variant trend under extreme condition. Main conclusions include： 1. Stated-owned banks contribute the most systemic risk, while the securities companies contribute the least. The joint- equity commercial banks＇ and insurance companies＇ contributions are between the above two. 2. During the study period, all institutions＇ contributions to systemic risk have increased, especially the state-owned banks. But the risk spillover effects across the banks, security and insurance industries are still weak. 3. ICBC, BOC, CCB and CLIC are systemic important institutions which should be comprehensively regulated. The rest institutions should focus on their own risk.