我国金融机构的系统重要性评估:基于多元极值理论

2008年全球金融危机以后,金融机构的"大而不能倒"问题以及由此引发的系统性风险备受关注。本文基于多元EVT和Copula函数,建立了系统重要性的多角度评估指标体系,并对我国公开上市的26家金融机构的系统重要性做了一个综合评估。实证研究结果表明:(1)我国银行业在金融体系中占有主导地位,且银行业同质性较高,易诱发系统性风险;(2)规模不是系统重要性的唯一考量因素,其他因素也会对系统重要性产生显著影响,部分股份制商业银行和城商行也应被列为金融监管的重点关注对象。

The Evaluation of Systemically Important Financial Institution of China: Based on Multivariate Extreme Value Theory

After the 2008 financial crisis, too-big-to-fail issue for financial institutions and its systemic risk have attracted more and more attention. In this paper, based on the theory of multivariate extreme value theory (EVT) and copula function, the multidimensional evaluation indexes are proposed, and a comprehensive assessment of systemic importance is made for 26 listed financial institutions in China. The results of the empirical study show that: (1) The banking sector in our country has made great contributions to systemic risk and plays an important role in the financial system;(2) Scale is the main factor in assessment of systemic importance, meanwhile there are also other factors having impact on systemic importance, some joint-equity commercial banks and city commercial banks should also be included as the focus of the financial regulatory.