银行业系统性风险监测预警体系与防控机制研究

The Early-warning System and Prevention Mechanism of Banking Systemic Risk

金融危机爆发后,各国际监管组织和主要国家普遍加强了对系统性金融风险的研究和监管。近年来,我国银行业在规模体量、组织体系、架构布局、业务模式、跨国经营等方面发生了巨大变化,机构之间的关联性、渗透性、交互性增强,风险的系统性上升。本文在借鉴、吸纳既往研究成果的基础上,分析并提出了银行业系统性风险的内外二元生成机制,阐述了银行业系统性风险形成的内在机理;聚焦经济风险、信用风险、流动性风险、市场风险、关联风险等五大风险源,深入分析可能诱发银行业系统性风险的主要因素及其传导机制;运用熵值法测度指标权重,进而构建银行业系统性风险评价指数。实证检验表明,BAI指数和BPI指数具有较好的评价预警效果。最后,本文分析提出了防控银行业系统性风险的四项机制:健全宏观审慎管理体系;筑牢风险防控基础屏障;着力强化系统性风险监管;健全问题机构处置机制。

After the outbreak of the global ？nancial crisis, international regulatory organizations and major countries generally strengthened the study and regulation of systemic risks. In recent years, China＇s banking industry has undergone tremendous changes in terms of scale, organization system, architecture layout, business models, and transnational operation, and the relevance, permeability and interaction of the institutions have been enhanced, systematicness of the risks has risen. On the basis of drawing lessons from previous research results, this paper proposes the principle of ＂duality generation mechanism＂, expounds the inner mechanism of the formation of the banking systemic risk. It focuses on economic risk, credit risk, liquidity risk, market risk to analyze main factors and transmission mechanism of the current banking systemic risks. This paper develops an evaluation and early-warning system using the entropy method to measure the weight of indicators. The effectiveness tests show that the BAI index and BPI index have a good evaluation of early warning effect. Finally, this paper proposes four mechanisms to prevent and control the banking systemic risk： improving the macro-prudential management system, building foundational barriers, strengthening systemic risk supervision and improving disposal mechanisms for problem institutions.