中国金融机构关联性与系统性风险贡献研究--基于尾部风险溢出网络视角

Connectedness and systemic risk contribution of Chinese financial institutions:A perspective from tail risk spillover network

在后危机时代如何准确地测度金融机构的系统性风险贡献以识别系统重要性金融机构是宏观审慎监管的重要任务.采用2010年至2019年中国32家上市金融机构数据以及宏观特征变量,通过TENET模型构建尾部风险溢出网络以度量金融机构关联性,并引入公司规模、杠杆和流动性指标,基于改进的PageRank算法提出网络-市场-账面相结合的系统性风险贡献测度思想,具体从系统整体、部门行业、机构个体三个层面对网络关联性展开实证分析.研究结果表明:1)金融系统总体关联性在危机与下行时处于高位水平,尾部风险溢出网络能有效捕捉极端风险事件;2)行业内的关联性水平总体而言高于行业间的关联性水平,但在极端情况下跨行业风险溢出强度会增大;3)银行和保险机构相对证券机构而言对系统性风险的贡献程度更高.

How to accurately measure systemic risk contribution of financial institutions is an important task of macro-prudential supervision for identifying systemically important financial institutions in the post-crisis era.Using the data of 32 China’s publicly-listed financial institutions from 2010 to 2019,this paper uses the tail-event driven network(TENET)model to construct tail risk spillover network for measuring connectedness a-mong financial institutions,by introducing such firm characteristics as size,leverage and liquidity.A network-market-book hybrid systemic risk contribution measurement based on an improved PageRank algorithm is also proposed.Specifically,the paper empirically analyzes the network interconnectedness from the system-wide,sector-conditional and institution-level measures.The results show that:1)the total connectedness of the financial system is at a high level during a crisis or market downturn,and the tail risk spillover network can effectively capture extreme risk events;2)the connectedness level within sectors is generally higher than that across sectors,but the risk spillover intensity across sectors will increase in extreme conditions;and 3)banks and insurers contribute more to systemic risk than security firms.