我国银行业系统性违约风险测度——基于系统性或有权益分析模型

Calibration of Systemic Default Risk of China's Bank:Based on Systemic Contingent Claims Analysis Model

2008年全球金融危机以来,世界主要经济体都加强了对系统性风险的防范。在此背景下,对系统性风险的动态监测与评估就显得尤为重要。优化了系统性或有权益分析模型(SCCA),并选取我国具有代表性的5家上市银行作为样本,对我国银行业的系统性风险进行了动态测度与分析。研究发现,2015年以来,我国银行业系统性违约风险显著上升,5家联合违约的概率已逼近20%,从联合预期损失来看,其值也已处于较高水平。

Since the global financial crisis in 2008, major economies have been taking the prudential macroeco- nomic policies to prevent systematic financial risk. In this context, dynamic monitoring and evaluation Of the sys- tematic risk is of great importance. In this paper, we optimized the key steps of SCCA and analyzed the systematic risk of China＇ s banking industry based on the data of 5 listed typical banks. The empirical study shows that the systematic risk of China＇ s banking industry risen rapidlysince 2015, the joint default probability at least 5 bank de- fault is nearly 20%. In a 99.9% confidence level, the joint default loss of sample banks arrived the high level.