我国银行系统性金融风险研究——基于“去一法”的应用分析

An Investigation of the Systemic Risk of Chinese Banks:An Application Based on Leave-one-out

本文运用最新发展的"去一"分析法(leave-one-out),对中国177家银行在面临外生冲击时所遭受的期望损失进行了1000万次的模拟分析,由此对各类型银行系统性金融风险的贡献度展开深入研究,在此基础上进一步考察了银行的个体风险、传染性风险以及系统性金融风险的影响因素。研究结果表明在中国银行整体系统性金融风险中,传染性风险占比逐年提高,并且由于较高比例传染性风险的存在,仅满足巴塞尔协议III中的资本充足率水平并不足以保证将我国银行违约率控制在0.1%以内;同时,进一步分析表明,股份制商业银行是银行业系统性金融风险的主要诱发者。此外,银行资本的增加能够减少金融机构受到的损失,从而显著降低银行的系统性金融风险;而银行间负债规模和杠杆倍数的提高将加重银行面对外部冲击时的期望损失与风险传染程度,从而显著提高了银行业整体的系统性金融风险。

Summary:Since China's reforms and opening-up,the importance of the financial industry to its economy has been continuously increasing.However,with the large expansion of the financial industry,the question of how to prevent the occurrence of systemic risk has become important and urgently needs to be answered.In China's financial system,the banking sector plays a leading role in indirect financing,so most of the risks in China's financial system are concentrated in the banking sector.Therefore,it is of great academic value and practical significance to measure the systemic risk of China's banking system and to carry out in-depth research on the components of this systemic risk and the factors influencing it.This will help improve the measurement of systemic risk and provide a valuable tool for the regulation of China's financial industry.It will also provide an important basis for the theoretical analysis and empirical testing of China's financial risk prevention system,helping to preempt the outbreak of risks within the financial industry and to create favorable conditions for the steady development of the Chinese economy under the new normal.The literature often uses methods such as MES(Acharya et al.,2017);(Adrian&Brunnermeier,2016)or SRISK(Brownlees&Engle,2016)to measure systemic risk,paying less attention to the measurement of the contagion effect of the financial risk.Zedda&Cannas(2017)propose the“leave-one-out”method,which provides a new perspective for how to study financial risks in the banking sector.In combination with simulations and the SYMBOL model,the“leave-one-out”method effectively measures the systemic risk of large,medium and small banks and identifies the contagion component of systemic risk without using data from the securities market,overcoming the limitations of existing studies.There have been no serious financial crises or large-scale defaults in China's financial market to date,making the simulation method more applicable when examining systemic financial risks in China.In this paper,we apply the“Leave-One-Out”method to investigate the systemic risks of 177 banks in China.On this basis,we analyze the proportion of contagion risk and the proportion of different types of banks systemic risks in the banking sector s overall risk.Then,we study whether total assets,risk-weighted assets,capital,interbank liabilities,interbank assets and leverage are the determinants of systemic risk.We take into consideration the different types of banks in China,which include large commercial banks,joint-stock commercial banks,city commercial banks,rural financial institutions and other kinds of financial institutions.Finally,we analyze the diverse risk supervision regulations.The main conclusions of this paper are as follows.(1)The systemic risk and the contagion risk in China's banking sector are increasing yearly and contagion risk is an important part of systemic risk in China.Moreover,due to the high proportion of contagion risks,it is not enough to guarantee that China's bank default rate is within 0.1%by only meeting the requirement for the level of capital adequacy ratio regulated in the Basel III agreement.(2)The results of a simulation analysis for bank classification indicate that the systemic risk and the contagion risk of the banking sector mainly originate from joint-stock commercial banks,followed by city commercial banks,while the systemic financial risks of large commercial banks are lower.(3)Increasing bank capital can significantly reduce a bank s systemic risk,while interbank debt aggravates the risk of contagion between banks.Based on these results,we make three suggestions.(1)Because contagion risk has become an important part of the systemic risk for China's banking sector,we need to focus on banks capital and interbank market liabilities to prevent the spread of contagion risk.(2)The results show that China's systemic risks mainly originate from joint-stock commercial banks and city commercial banks;therefore,we should strengthen the supervision of joint-stock commercial banks and city commercial banks to prevent the occurrence of systemic risk and safeguard the stability and safety of the financial market.(3)We need to construct a risk supervisory model for the banking sector,which has the capital adequacy ratio at its core and regards the leverage ratio,risk exposure and interbank liabilities as key inputs,to ensure financial security and achieve steady and sound economic and social development.