中国系统重要性金融机构的识别——基于CES方法的实证分析

Identifying Chinese Systemic Important Financial Institutions

采用成分期望损失CES方法,完全基于公开市场数据,对中国系统重要性金融机构进行度量和识别的结果表明,中国系统重要性机构基本不随时间发生较大变化,且大部分的系统性风险聚集于少部分的金融机构。对不同行业的CES贡献度进行排序可知,银行业在中国金融系统中占据绝对系统重要地位,其次为保险业,证券业居其后。根据金融机构CES贡献度将中国金融机构的系统重要性程度划分为三个层次,结果表明,分类的方法具有合理性和可行性。此外,对金融机构样本外CES值进行预测,并将其与样本内观察值进行稳健性比较,能够为研究者和政策制定者提供新的研究思路和政策启示。

This paper introduces a Component Expected Shortfall （CES） approach which is completely based on open market data to identify the Chinese domestic Systemic Important Financial Institutions （SIFIs）. The results show that the SIFIs ranking is relatively stable over time, and most of the systemic risk is concentrated to a certain group of institutions. Based on the CES contributions of different sectors, the banking sector dominates in systemic importance, followed by the insurance sector and the securities. This paper also proposes an approach to allocate the SIFIs into three buckets based on their CES contributions, and the robust check shows that this classification is reasonable and practical. Furthermore, this paper conducts an out - of - sample analysis and compares it with in - sample analysis, and the results provide some new ideas for both researchers and policy -makers.