我国商业银行系统性风险评估与实证研究——基于预期期望损失方法测度.docxVIP

第12期总第278期 第12期总第278期 商业经济与管理 NO．12 V01．278 2014年12月 JOURNAL OF BUSINESS ECONOMICS Dec．2014 我国商业银行系统性风险评估与实证研究 ——基于预期期望损失方法测度 冯 超，谈颢阳 (湖南大学金融与统计学院，湖南长沙41006) 摘 要：文章对我国商业银行系统性风险进行评估，采用系统性预期期望损失和边际预期 期望损失两个测度变量，以此作为系统重要性指数，通过预期期望损失方法利用我国14家上市商 业银行的面板数据评估我国商业银行系统性风险水平。实证结果表明：虽然国有银行系统重要性 虽然占据主要地位，但系统性风险贡献排名却远低于其他商业银行，主要原因是国有银行的现金 流更稳定，加上政府隐性担保及政策优惠对弱化系统性风险贡献度有很大帮助。另外我国中小城 市商业银行更有可能带来系统性风险，因为股份制商业银行资产总规模虽然相对较小，但资产扩 张速度过快、盈利大幅波动、资本充足率低且负债率较高，相比较国有银行更需要得到监管部门的 重点监管。 关键词：上市商业银行；系统性预期期望损失；边际期望损失；系统性风险 中图分类号：F830．33 文献标识码：A 文章编号：1000—2154(2014)12-0081—10 Systemic Risk Assessment and Empirical Study of Commercial Bank of China： Based on Systemic Expected Shortfall Measurement FENG Chao，TAN Hao—yang (School of Finance and Accounting，Changsha 410006，China) Abstract：This paper estimates systemic risk of commercial bank in country by using systemic expected shortfall and mar- ginal expected losses two measure variables the systemic importance index，then we the panel data of 14 listed commercial banks in China to systemic risk level of Chinese commercial banks systemic by using expected shortfall loss method．The suit shows that the importance of state—owned banking system occupies the dominant position，but systemic risk contribution is much lower than other commercial banks．The main is that state-owned banks have more stable cash flow。government’s recessive guarantee and preferential policy，which help lot weaken the systemic risk contribution．Besides，the commercial banks in small cities of China more likely bring systemic risks for their rapid of expansion，volatility in earnings，low capital ade- quacy ratio and high debt ratio，even if their total size of large．So compared with the state-owned banks，the corn— mercial banks need more attention by Chinas financial supervision． Key words：listed commercial banks；systemic expected shortfall；marginal expected loss；systemic risk 收稿日期：2014—09—05 基金项目：国家社会科学基金重点项目“财政政策和信贷政策与产业政策的协调配合