中国系统重要性银行的风险传染性研究

The Study of Risk Contagion of Systemically Important Banks in China

本文从资本市场的角度出发,运用Copula函数方法对中国14家上市银行之间的风险传染性进行分析,使用尾部相关系数作为度量风险传染性的指标。主要结论如下:(1)通过比较次贷危机前后尾部相关系数的变化,确定工商银行、建设银行、中国银行、交通银行、民生银行和中信银行6家银行为中国的系统重要性银行;(2)中国的系统重要性银行传染性非常强,一旦发生风险可能会对其他银行乃至整个金融业产生极大的破坏力,因此,这些银行是"大而不能倒"的,必须加强对这些银行的监管,做到宏观审慎监管与微观审慎监管相结合。

From the angle of capital market,this paper uses Copula function to measure the risk contagion of 14 listed banks in China.Tail-dependence coefficient is applied to measure the risk contagion.By contrasting the change in values of tail-dependence coefficient before and after sub-prime mortgage crisis,the paper confirms that six banks,including ICBC,CCB,BOC,Bank of Communications,CMBC and CITIC Bank,are the systemically important banks in China.The contagion of systemically important banks is very significant.Once risks break out,other banks and even the whole financial sector may be seriously impacted.Therefore,the six banks are"too big to fail".The regulation authority should intensify the supervision on systemically important banks and combine macro-prudential regulation with micro-prudential regulation.