中国上市银行的系统性风险价值及溢出——基于CoVaR方法的实证分析

The Systemic Risk Value and Risk Spillover in Chinas Listed Banks: An Empirical Analysis Based on CoVaR Method

中文关键词:  系统性风险  在险价值  条件风险价值  风险溢出

英文关键词:systemic risk  VaR  CoVaR  risk spillover

中文摘要:

      采用当前度量银行机构系统性风险贡献测度的CoVaR方法，运用分位数回归技术，对中国14家上市银行的系统性风险价值和风险溢出价值进行了测算。实证结果表明：大银行的风险贡献系数大，负外部性就大；小银行的风险贡献系数小，负外部性就小；大银行的系统性风险价值较大，小银行的系统性风险价值较小。一般来说，规模大的银行的系统性风险溢出价值较大。中国银行、中国建设银行、中国工商银行和中国交通银行可以列为中国金融系统的重要性银行，应重点加强监管。

英文摘要:

      This paper adopts the CoVaR method which is currently popular in measuring the systemic risk contribution of banking institutions. With quantile regression techniques, it estimates the values and overflow values of systemic risk in Chinas 14 listed banks. The empirical results show that the risk contribution coefficient is large in big banks and their negative externalities are large; the risk contribution coefficient is small in small banks and their negative externalities are small; the systemic risk value is larger in big banks than in small banks; and the overflow values of systemic risk in large-scale banks are generally greater. Bank of China, China Construction Bank, Industrial and Commercial Bank of China and Bank of Communications can be classified as systemically important banks in China, which should focus on strengthening supervision.