银行业信用风险的多维多重传染效应及其因素研究

Research on Multidimensional and Multiple Contagion Effects of Banking Credit Risk and Its Factors

银行信用风险的核心特征在于系统重要性因素容易引发机构陷入困境,进而风险传染导致关联银行陆续破产。本文利用Copula-KMV方法来估算期间联合违约率均值,以测度信用风险溢出传染效应,并利用面板回归模型验证系统性风险传染的重要因素。研究表明:期间联合违约率均值能够很好地测度银行信用风险传染,国有商业银行是银行业稳定的“阻尼器”,股份制银行处于风险传染网络中心位置;银行不良贷款率、银行资产负债率、银行资本充足率、宏观外汇储备率和银行网络中心度显著正向影响风险传染;CPI、净资产收益率、M2、国内生产总值和银行介数中心性显著负向影响风险传染。上述研究为银行风险监测和“双支柱调控”提供了一些思路。

The core feature of banking credit risk is that systemically important factors can easily cause important institutions to fall into trouble, and then risk contagion leads to the bankruptcy of related banks.Therefore, this paper uses Copula-KMV method to estimate the mean value of joint default rate during the period, to measure the contagion effect of Credit Risk Spillover, and uses panel regression model to verify the important factors of systemic risk contagion. The research shows that the mean value of joint default rate during the period can well measure the credit risk contagion of banks, state-owned commercial banks are the damper of banking stability, and joint-stock banks are in the center of the risk contagion network;Bank non-performing loan ratio, bank asset liability ratio, bank capital adequacy ratio, macro foreign exchange reserve ratio and bank network centrality have a significant positive impact on risk contagion;CPI, return on net assets, M2, GDP and bank order centrality have a significant negative impact on risk contagion. These results provide some ideas for bank risk monitoring and double pillar regulation.