中国上市银行系统性风险贡献及其影响因素研究——基于MES-SRISK方法

Research on Chinese listed Banks' Systemic Risk Contribution and Its influencing factors——Based on MES-SRISK Model

本文结合市场数据和资产负债表数据,运用 MES-SRISK模型测算了2012-2016年我国上市银行的系统性风险贡献度,并就影响系统性风险贡献度的因素进行了实证研究。结果表明:国有商业银行的系统性风险贡献度显著高于股份制银行和城市商业银行;股份制银行对系统性风险的贡献在逐年增大;银行资产规模、杠杆率以及不良贷款率与系统性风险贡献度呈现出正向关系,而资产回报率、资本充足率以及市值与股东权益比率的提升会降低系统性风险贡献度。

We combine listed banks＇ market data and balance sheet data in China, then use MES-SRISK model to measure banks＇ systemic risk contribution from 2012 to 2016. The empirical results showed that state-owned commercial banks systemic risk contribution is significantly higher than joint-stock commercial banks and city commercial banks; joint-stock commercial banks＇ systemic risk contribution increases year by year; In the case of the long-term expected shortfallis closed, the size of listed banks plays a decisive role on systemic risk contribution.Banks＇ asset size, leverage ratio and NPL ratio shows positive relationship withsystemic risk contribution, and as return on assets, capital adequacy ratio and market to book enhancing, the bank＇s contribution to systemic risk will be reduced.