中国系统重要性银行的市场识别法有效性研究
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摘要
宏观审慎监管需要识别出系统重要性机构(SIFIs),目前已有相关研究,但还没有就如何有效识别达成共识。首先阐述MES法、SRISK法和Co Va R法三个主流的市场识别法原理与计算,在统一的DCC-GARCH模型相关性分析框架中,对它们做了理论比较。然后,以中国上市银行为样本,收集市场交易数据,用DCC-GARCH模型拟合相关结构,分别进行了中国SIFIs识别,根据各指标的理论特征分析了各系统重要性排序结果的有效性及其经济意义。
Macro-prudential supervision firstly calls for there cognition of Systemically Important Financial Institutions(SIFIs).Nowadays there is no consensus about the effectiveness of several existing recognition methods of SIFIs.This paper introduces three most popular recognition methods.We propose a theoretical comparison in a common framework and then collect market transaction data of Chinese listed banks to do the recognition of SIFIs by the DCC-GARCH model.According to the theoretical and empirical analysis of the characteristics of the three recognition methods,we get the economic meanings of SIFIs rankings by each recognition methods.
Macro-prudential supervision firstly calls for there cognition of Systemically Important Financial Institutions(SIFIs).Nowadays there is no consensus about the effectiveness of several existing recognition methods of SIFIs.This paper introduces three most popular recognition methods.We propose a theoretical comparison in a common framework and then collect market transaction data of Chinese listed banks to do the recognition of SIFIs by the DCC-GARCH model.According to the theoretical and empirical analysis of the characteristics of the three recognition methods,we get the economic meanings of SIFIs rankings by each recognition methods.
引文
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[10]巴曙松,高江健.基于指标法评估中国系统重要性银行[J].财经问题研究,2012,(9):48-56.
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[12]高国华,潘英丽.银行系统性风险度量——基于动态Co Va R方法的分析[J].上海交通大学学报,2012,45(12):1753-1759.
[13]肖璞,刘轶,杨苏梅.相互关联性,风险溢出与系统重要性银行识别[J].金融研究,2012,(12):96-106.
[14]Acharya V,Engle R,Richardson M.Capital shortfall:A New Approach to Ranking and Regulating Systemic Risks[J].The American Economic Review,2012,102(3):59-64.
[15]Brownlees C T,Engle R F,Kelly B T.A Practical Guide to Volatility Forecasting through Calm and Storm[J].Social Science Electronic Publishing,2011,14(2):3-22.
[16]Embrechts P,Mc Neil A,Straumann D.Correlation and Dependence in Risk Management:Properties and Pitfalls[J].Risk Management:Value at Risk and Beyond,2002:176-223.
[2]吴大庆.对我国系统重要性金融机构的识别与评价[J].湘潭大学学报(哲学社会科学版),2013,37(2):78-81.
[3]范小云,王道平,刘澜飚.规模、关联性与中国系统重要性银行的衡量[J].金融研究,2012,(11):16-30.
[4]梁琪,李政,郝项超.我国系统重要性金融机构的识别与监管——基于系统性风险指数SRISK方法的分析[J].金融研究,2013,(9):56-70.
[5]赵进文,张胜保,韦文彬.系统性金融风险度量方法的比较与应用[J].统计研究,2013,30(10):46-53.
[6]杨有振,王书华.中国上市商业银行系统性风险溢出效应分析——基于Co Va R技术的分位数估计[J].山西财经大学学报,2013,35(7):24-33.
[7]Giesecke K,Kim B.Systemic risk:What Defaults are Telling Us[J].Management Science,2011,57(8):1387-1405.
[8]王巍.系统重要性金融机构的识别、监管及在我国的应用[J].财经问题研究,2013,(2):60-65.
[9]贾彦东.金融机构的系统重要性分析——金融网络中的系统风险衡量与成本分担[J].金融研究,2011,(10):17-33.
[10]巴曙松,高江健.基于指标法评估中国系统重要性银行[J].财经问题研究,2012,(9):48-56.
[11]Adrian T,Brunnermeier M K,Nguyen H L Q.Hedge Fund Tail Risk[M].University of Chicago Press,2011:155-172.
[12]高国华,潘英丽.银行系统性风险度量——基于动态Co Va R方法的分析[J].上海交通大学学报,2012,45(12):1753-1759.
[13]肖璞,刘轶,杨苏梅.相互关联性,风险溢出与系统重要性银行识别[J].金融研究,2012,(12):96-106.
[14]Acharya V,Engle R,Richardson M.Capital shortfall:A New Approach to Ranking and Regulating Systemic Risks[J].The American Economic Review,2012,102(3):59-64.
[15]Brownlees C T,Engle R F,Kelly B T.A Practical Guide to Volatility Forecasting through Calm and Storm[J].Social Science Electronic Publishing,2011,14(2):3-22.
[16]Embrechts P,Mc Neil A,Straumann D.Correlation and Dependence in Risk Management:Properties and Pitfalls[J].Risk Management:Value at Risk and Beyond,2002:176-223.