中国上市金融机构系统性风险测度

Measuring the Systemic Risks of China's Listed Financial Institutions

金融危机后宏观审慎监管逐步成为各国金融管理改革的重点内容,金融系统性风险由此受到广泛的关注。选取2010—2014年数据,运用分位数回归的Co VaR方法度量中国32家上市金融机构的系统性风险,定量分析中国金融行业的风险传染及风险溢出效应。研究发现,整个金融行业的关联度很强,银行体系相对证券业和保险业有更强的关联度;风险传染具有普遍性,但实证结果表明金融系统性风险的传染呈现衰减特性;金融机构的风险溢出与其自身经营风险存在较强关联,并非完全取决于资产规模大小。同时,监管部门既要专注微观审慎还应专注宏观审慎,根据系统性风险贡献程度而非规模大小,正确确立中国系统性重要金融机构名单,构建渐趋完善的宏观审慎监管框架。

After the financial crisis, macro-prudential supervision has gradually become the focus of financial management reform in various countries,which makes the financial systemic risk receiving extensive attention in recent years. The paper uses the quantile regression and the CoVaR method to measure the system risks of 32 listed fi- nancial institutions in China with data from 2010 to 2014, and quantitatively analyzes the risk contagion, as well as the risk spillover of China＇ s financial industry. The study shows that the whole financial industry has a strong corre- lation while the banking system relatively has a stronger correlation than the securities and insurance industry;risk contagion shows universality, hut the financial system risk contagion presents a characteristic of attenuation ; financial institutions＇ risk spiUover which is not entirely dependent on asset sizes has a strong association with their business risks. Meanwhile, this paper argues that the regulatory authorities should be committed to the micro-prudential and the macro-prudential at the same time, establish the correct list of systemically important financial institutions ac- cording to systemic risk contribution, and gradually build a more perfect macro-prudential regulatory framework.