银企信贷复杂网络下的银行业系统性风险研究——基于高碳行业视角

Research on Banking Systemic Risk Under the Complex Network of Bank-Enterprise Credit——Based on the Perspective of High-Carbon Industries

碳减排压力下,高碳企业向低碳转型内生的“转型风险”可能成为引发下一场系统性金融风险的“绿天鹅”事件。基于2013-2022年14个高碳行业的银企贷款数据,首先采用“银企”二分网络法,以高碳企业预期违约率作为风险传染强度指标,纵向度量“银企”的风险传导路径。研究发现银企间网络规模逐年扩大,尾部风险突出集中于化工行业,且主要由股份制商业银行承受。其次运用“银银”映射网络法,以银行间共同风险敞口作为风险传染强度指标,横向度量“银银”的风险传导路径。研究发现城市商业银行与农村商业银行日渐成为系统重要性银行,风险承担愈加凸显;国有控股大型商业银行自身输出较大银行间尾部风险,其对风险的扩散或防御至关重要。最后基于复杂网络筛选出系统重要性银行与风险传染性银行,运用动态CoVaR法度量尾部溢出的系统性风险贡献强度,全面捕捉风险从高碳企业到金融机构间“自下而上的风险测度逻辑”,从而为监管部门构建“自上而下的风险监管逻辑”提供现实依据。在“双碳”战略下,应出台专门的信贷支持政策推动重点行业实施节能减排,立足“银企”信贷网络的全局开展差异化管理和全面风险评估,在逆周期缓冲资本监管框架的挂钩变量中引入高碳行业尾部风险的新视角。

Under the pressure of carbon emission reduction,the endogenous“transformation risk”of low-carbon transformation of high-carbon enterprises may become a“green swan”event that leads to the next systemic financial risk.Based on the bank-enterprise loan data of 14 high-carbon industries from 2013 to 2022,this paper firstly adopts the“bank-enterprise”binary network method and takes the expected default rate of high-carbon enterprises as the risk contagion intensity index to measure the risk transmission path of“bank-enterprise”vertically.It is found that the scale of the network between banks and enterprises is expanding year by year,and the tail risk is mainly concentrated in the chemical industry,which is mainly borne by joint-stock commercial banks.Secondly,using the“bank-bank”mapping network method,the risk transmission path of“bank-bank”is measured horizontally by taking the common risk exposure among banks as the index of risk contagion intensity.It is found that urban commercial banks and rural commercial banks are becoming systemically important banks,and their risk bearing is more and more prominent.Large state-owned commercial banks themselves export large inter-bank tail risks,which are crucial to the spread or defense of risks.Finally,based on the systemically important banks and risk infectious banks selected by complex networks,the dynamic CoVaR method is used to measure the systemic risk contribution strength of the tail overflow,and comprehensively capture the“bottom-up risk measurement logic”between the risk of high-carbon enterprises and financial institutions,so as to provide a realistic basis for the regulatory authorities to build“top-down risk supervision logic”.Under the“Carbon Peak and Carbon Neutrality”strategy,special credit support policies should be introduced to promote the implementation of energy conservation and emission reduction in key industries,and differentiated management and comprehensive risk assessment should be carried out based on the overall“bank-enterprise”credit network,and a new perspective of tail risk in high-carbon industries should be introduced into the linked variables of the counter-cyclical buffer capital regulatory framework.