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本文基于2008—2016年14家上市银行数据,使用Br i dge-Sampl i ng方法和网络模型,对我国股市冲击压力情景下银行系统性风险的测度和演化问题进行考察。结果表明,银行系统性风险在2008Q2—2009Q1和2014Q2—2014Q3等时期中相对较高,基于股市冲击压力情景的系统性风险测度方法对我国较为适用。当股市下跌幅度达到一定程度时,源于股市冲击的市场风险可能演变为系统性风险,风险演化过程与银行间双边净额结算比例、破产成本调整规定和系统重要性银行监管措施等紧密相关。我国应密切重视股份制银行风险传染的特殊性,加强股市冲击所引发的市场风险管控,及时出台相关政策防范银行系统性风险。
Based on the data of 14 listed banks from 2008 to 2016, this paper investigates the measurement and evolution of the systemic risk in the stock market under the impact of the stock market pressure using the Briggs-Samplini method and the network model. The results show that the systematic risk of banks is relatively high in 2008Q2-2009Q1 and 2014Q2-2014Q3, and the systematic risk measure based on the stock market shock pressure scenario is more suitable for our country. When the stock market declines to a certain extent, the market risk from the stock market shock may evolve into a systemic risk. The risk evolution process is closely related to the proportion of bilateral net balance between banks, the regulation of bankruptcy costs and the banking supervision measures of system importance. China should pay close attention to the peculiarities of risk contagion of joint stock banks, strengthen market risk control caused by the impact of the stock market, and timely promulgate relevant policies to prevent systemic risks of the banks.