国内系统重要性银行潜在风险度量研究

Research on Potential Risk Measurement of Systemically Important Banks in China

2008年全球金融危机以来,“系统重要性银行”(SIBs)一词逐渐进入公众视野,随后学术界掀起了有关SIBs的研究热潮。本文从违约风险、流动性风险、市场风险、杠杆风险四个一级指标入手,结合银行风险差异性设置了二级指标及权重,构建了国内系统重要性银行潜在风险度量指标体系。通过各指标值计算并选取SIBs潜在风险数据基准对国内系统重要性银行潜在风险进行度量,并针对具体潜在风险提出相应的监管建议。

Since the Global Financial Crisis in 2008,the term"system importance bank"(SIBS)has gradually come into the public fi eld of vision.In this paper,the default risk,liquidity risk,market risk,leverage risk four fi rst-class indicators,combined with the bank risk differences set up the second-class indicators and weights,the index system of potential risk measurement of domestic systemically important banks is constructed.Through the calculation of each index value and SIBS potential risk data benchmark to measure the potential risk of domestic systemically important banks,and put forward the corresponding regulatory recommendations for specific potential risk.