区域系统性信贷风险的测量与宏观审慎管理建议——以绍兴市为例

Measuring Regional Systemic Credit Risk and Recommendations Based on Macro-prudential Regulation——Take Shaoxing as an Example

在宏观审慎管理下,防范系统性风险是主要的目标。自2008年国际金融危机以来,系统性风险防范的重要性日益被各国学界、货币当局所重视。近年来,我国部分地区信贷风险事件逐步增多,不良贷款率有所反弹,区域性的信贷风险防范压力明显增加。作为风险测量的重要工具,夏普模型在银行业系统性风险测量中虽已有所应用,但也存在不能针对区域、非上市银行等问题。因此,将夏普模型的应用进行扩展,创造可以针对区域信贷领域系统性风险的测量方法在当前具有十分重要的意义。只有准确测量了系统性风险,才能基于宏观审慎管理的理念,有效防范区域性、系统性信贷风险。

Preventing systemic risk is the key object of macro-prudential regulation. Since international financial crisis happened in 2008, preventing systemic credit risk has been attached more and more importance to by academies and monetary authorities. In recent years, with increasing number of credit incidents and increasing pressure of non-performing loans in some areas of China, regional credit risk has been rising. As an important measurement of risk, Sharpe Model has been applied in banking systemic risk measuring. However it＇s not so effective when it comes to regional problems or non-listed banks. Thus by deepening and developing the Sharp Model,it＇s going to make a big difference to prevent regional systemic risk.Based on Macro-prudential idea,only with the accurate measuring results, the regional systemic credit risk can be prevented effectively.