非利息收入对商业银行系统性风险的影响研究——基于风险分解视角

A Study on the Impact of Non-interest Income on the Systemic Risk of Banks--Based on Risk Decomposition Perspective

本文使用ΔCoVaR度量商业银行系统性风险,将其分解为尾部风险(alpha)、基本宏观经济和金融因素(beta)和银行间关联性(gamma),进一步研究非利息收入对beta的影响。结果显示:目前非利息收入业务规模较小,适当扩展其规模有利于降低商业银行系统性风险,但会增加基本宏观经济和金融因素风险敞口;此外,手续费及佣金对商业银行ΔCoVaR影响显著。基于此,本文从银行非利息收入规模、业务结构平衡、行业个体差异等方面提出对策建议。

This paper usesΔCoVaR to measure the systemic risk of commercial banks,decomposes it into tail risk(alpha),fundamental macroeconomic and financial factors(beta)and interbank correlation(gamma),and further investigates the impact of noninterest income on beta.The results show that the current scale of non-interest income business is small,and the appropriate expansion of its scale is conducive to reducing commercial banks’systemic risk,but will increase the exposure to fundamental macroeconomic and financial factors;in addition,fees and commissions have a significant impact on commercial banks’ΔCoVaR.Based on this,this paper proposes countermeasures in terms of the scale of banks’non-interest income,business structure balance,and individual industry differences.