银行系统性风险度量——基于动态CoVaR 方法的分析

上海交通大学学报（自然版） ›› 2011, Vol. 45 ›› Issue (12): 1753-1759.

银行系统性风险度量——基于动态CoVaR 方法的分析

高国华，潘英丽

（上海交通大学安泰经济管理学院，上海 200052）

收稿日期:2011-02-28 出版日期:2011-12-31 发布日期:2011-12-31
基金资助:
国家社科重点项目（09AJY003）；教育部应急课题项目（2009JYJR037）

Banking Systemic Risk Based on Dynamic CoVaR Estimation

GAO Guo-Hua, PAN Ying-Li

(Antai College of Economics and Management, Shanghai Jiaotong University, Shanghai 200052，China)

Received:2011-02-28 Online:2011-12-31 Published:2011-12-31

摘要/Abstract

摘要： 以测量金融机构溢出风险的条件CoVaR模型为基础，应用股价数据对我国14家上市商业银行的系统性风险贡献度及其影响因素进行测算分析.实证结果表明：银行系统性风险贡献度与其自身VaR之间并无显著线性关系，对我国银行体系而言，系统重要性银行主要是四大国有银行，尤其以建设银行、中国银行和工商银行的系统性影响最为显著，其他股份制银行的风险溢出和传染效应远小于这3家银行；银行的溢出风险ΔCoVaR、自身风险VaR水平、不良贷款率以及宏观经济波动对于预测银行系统性风险的边际贡献具有显著影响.

关键词: CoVaR方法, 系统性风险, 风险溢出

Abstract: This paper estimated banking systemic risk based on CoVaR measure discussed by Adrian and Brunnermeier（2009）. Our conclusions are: ① banking systemic risk has no linear relationship with its VaR.In China the four stateowned banks have most systemic risk.② CoVaR, VaR and nonperforming loans ratio are significant to predict future marginal systemic risk of banks.

Key words: CoVaR measure, systemic risk, risk spillover

中图分类号:

F831.9

高国华, 潘英丽. 银行系统性风险度量——基于动态CoVaR 方法的分析[J]. 上海交通大学学报（自然版）, 2011, 45(12): 1753-1759.

GAO Guo-Hua, PAN Ying-Li. Banking Systemic Risk Based on Dynamic CoVaR Estimation[J]. Journal of Shanghai Jiaotong University, 2011, 45(12): 1753-1759.

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