基于宏观审慎的系统重要性商业银行评价与监管

宏观审慎导向的金融监管是理论界和监管当局关注的重点,从国际银行业的发展经验来看,对系统重要性商业银行进行科学评价,可以为监管部门宏观审慎监管提供依据,从而有效防范金融体系的系统性风险的集中爆发并促进金融体系的稳定发展。本文在Adrian与Brunnermeier(2008)研究的基础上,拓展了基于Copula函数和GARCH分布的动态CoVaR模型,推导出了一种系统重要性商业银行的评价方法,提出了一个操作性较强的风险监管指标,并采用中国上市银行的数据,对各商业银行的系统重要性以及监管强度进行排序。研究结论表明,大型商业银行对整个银行系统的风险溢出影响非常大,商业银行的系统重要性具有动态的特征,并与经济周期密切相关,监管当局在对商业银行进行监管时,应该综合考虑商业银行自身的风险水平和它的系统重要性。     

基于复杂网络构建的系统重要性银行评估研究

复杂网络为分析系统性金融风险和系统重要性机构提供了全局性视角,但由于数据获取上的局限,我国银行系统网络构建存在困难。利用贝叶斯方法和2013—2015年银行资产负债数据构建银行系统网络,在此基础上建立系统性损失测度指标,并讨论规模与网络中心性在系统重要性银行评估中的作用。研究发现:国有大型商业银行处于银行系统的枢纽位置;同业负债和入度对银行个体风险造成的系统性损失有显著正向影响,而资本缓冲和出度增大能够降低局部危机造成的整体损失。因此,规模仍是影响银行系统重要性的主要因素,而银行之间的关联性也发挥着越来越重要的作用。     

资产证券化与银行业系统性风险 ——基于"去一"分析法的应用

本文以防范银行业系统性风险为出发点,考察资产证券化对银行业系统性风险的影响,并运用最新的"去一"分析法对不同类型银行的系统性风险贡献度展开研究.在此基础上,本文考察了资产证券化对银行业系统性风险的影响路径,以及不同类型银行构成的银行系统中,影响路径的异质性.研究结果表明,资产证券化显著增加了银行业系统性风险,且中等规模银行及股份制商业银行是风险的主要来源者和传播者;此外,银行间产品互持路径对银行业系统性风险的影响并不显著,但应用"去一"依次去除大规模银行以及大型国有商业银行后,该路径显著通畅.这说明,资产证券化产品在银行间的互持现象,在一定程度上增加了银行间的关联度,进而提升了银行业系统性风险.     

中国系统重要性银行评估——基于14家上市银行数据的研究

金融危机的爆发凸显了识别和监管系统重要性金融机构的重要性,本文采用多变量极值模型,运用国内14家上市银行股票市场日收益率数据,对各上市银行的系统重要性做了静态和动态评估。研究结果表明,国内银行系统重要性排序与银行规模基本一致,几大国有控股银行系统重要性排序靠前。金融危机以来,所有银行的系统性影响指数(SII)和附带破坏指数(CDI)值都呈现出先升后降的特点,在某种程度上表明银行业系统性风险增大。总体上看,不同时期国内银行SII值和CDI值计算结果均远高于相关研究中以国外银行为样本的计算结果。这一方面说明防范系统性风险应成为我国金融监管的重点,另一方面也说明中国银行业体系可能存在自身的特殊性。     

流动性剩余、流动性风险与银行业系统性风险测量

全球性金融危机过后,世界范围内的政策制定者、经济学家以及时评人士对加强金融市场监管、防范系统性风险基本达成共识。本文从流动性角度出发,对我国商业银行部门系统性风险进行了度量,同时衡量了我国上市银行的系统重要性程度。通过对商业银行个体的资产负债表数据分析,本文提出一种基于系统相对流动性剩余的概率分布来度量流动性风险,以及基于绝对流动性剩余的方差贡献度来衡量银行系统重要性程度的方法,并对我国上市银行系统性风险进行了实证分析。本文的研究结果表明,从流动性风险视角来看,部分银行对我国商业银行体系的系统风险贡献程度较高。     

我国商业银行系统性风险度量及监管研究

本文用Copula函数的CoVaR方法,度量了我国14家上市银行和整个银行业间的风险溢出效应,通过比较在欧债危机发生前后各上市银行对整个银行业系统性风险的贡献度以及受整个银行业危机的影响程度,分析得出以下结论：单个银行对整个银行业系统性风险的贡献度和受整个银行业危机的影响程度取决于银行的性质、资产规模,以及经济周期等因素.基于以上结论对监管部门在宏微观审慎监管、系统性重要银行监管、逆周期管理方面提出了几点建议.     

2013年度我国13家银行全球系统重要性银行评估指标分析

金融稳定理事会2013年末圈定了29家全球系统重要性银行,从定量和定性两方面对其进行测算评估。定量指标从全球活跃程度、规模、关联度、可替代性、复杂性等五大类别评估一家银行对全球金融体系的重要性。在国内,银监会发布《商业银行全球系统重要性评估指标披露指引》,要求13家主要银行参与系统重要性银行指标评估测算和信息披露。本文选取13家银行披露的系统重要性银行评估指标,对我国主要银行的系统重要性以及资本充足率压力做了分析和对比。全球系统重要性银行评估结果是对商业银行全球系统重要性高低程度的评价,不是对商业银行内部经营管理水平或风险高低的评价。     

动态视角下房地产贷款对银行业系统性风险溢出研究

基于Credit Metrics模型动态度量房地产贷款信用风险,运用双重ΔCoVaR模型分析框架量化其对单家银行风险的影响,以及对银行业系统性风险的溢出,将总体溢出分解为直接溢出和间接溢出,考量房地产贷款信用风险对银行业系统性风险的传导途径。结果显示：一方面,房地产贷款信用风险近年来整体呈上升趋势,且对银行业风险溢出显著,尤其是大规模债务违约和新冠疫情的爆发加剧了溢出效应。另一方面,房地产贷款信用风险的间接溢出大于直接溢出,且高(低)系统重要性银行产生了更大的间接(直接)溢出,表明高系统重要性银行由于与其他银行的业务联系密切,其贷款信用风险更易引发银行业内的连锁反应从而间接刺激风险爆发;低系统重要性银行因为依赖少数大型客户贷款,面临信用丢失时缺乏强劲的风险缓冲能力,更可能直接对银行业的稳定造成显著破坏。     

我国系统重要性银行识别方法对比研究

2008年金融危机后各国愈加重视宏观审慎监管。对系统重要性银行的准确识别是防范银行业系统性风险的前提,也是对金融机构实施宏观审慎监管的基础。本文基于市场法和指标法构建模型,对我国16家上市商业银行进行系统重要性识别,并开展对比分析。研究发现,单独使用两种方法识别出的结果存在一定差异,建议政策制定者将指标法和市场法相结合,纳入现有的系统重要性金融机构评估框架,细化监管标准和落实差别化监管措施,并加强数据统计工作。     

基于VaR模型的商业银行体系系统性风险研究

本文以中国2016年之前上市商业银行作为中国银行业的代表,测算银行业系统性 风险VaR。整体来讲,我国银行业系统性风险较低,但VaR在2015年较高。虽如此,我国银行业资本持有量能够抵御银行体系的系统性风险。在系统性风险VaR贡献度方面,本文实证分析表明,在样本期间内,浦发银行、中国银行、农业银行、交通银行贡献度较高。银行体系系统 性风险VaR受GDP增长率和沪深300指数收益率的显著影响。     

Systemic Risk Contributions

We adopt a systemic risk indicator measured by the price of insurance against systemic financial distress and assess individual banks’ marginal contributions to the systemic risk. The methodology is applied using publicly available data to the 19 bank holding companies covered by the U.S. Supervisory Capital Assessment Program (SCAP), with the systemic risk indicator peaking around $1.1 trillion in March 2009. Our systemic risk contribution measure shows interesting similarity to and divergence from the SCAP loss estimates under stress test scenarios. In general, we find that a bank’s contribution to the systemic risk is roughly linear in its default probability but highly nonlinear with respect to institution size and asset correlation.     

防范金融危机:宏观审慎监管与最低国际标准

未能察觉系统性风险的形成并防止本次全球金融危机，这增加了对目前的危机防范措施进行重新审视的必要性。本文认为金融危机是可以预防的，因为这是由政策错误的积累而成，最终让危机以惊人的方式爆发。尽管我们不能准确预期危机发生的时间，但可以通过识别和处理不稳定的根源来防止危机。为此，决策者需要加强从上到下的宏观审慎性监管，作为从下到上微观审慎性监管的补充。本文探索了这一战略，以及在国家层面完成此任务需要的机构设置。考虑到近期采取的针对系统性风险的监管改革不足以防范未来的风险，本文提出，提升金融稳定性的国家措施很重要，而管理国际金融监管的威斯特伐利亚（West Phalian）原则应遭到抵制。在建立有效的国家层面系统性监管的同时，强有力的国际合作对于金融稳定也不可缺少。     

Systemic risk of insurers around the globe

We study the exposure and contribution of 253 international life and non-life insurers to systemic risk between 2000 and 2012. For our full sample period, we find systemic risk in the international insurance sector to be small. In contrast, the contribution of insurers to the fragility of the financial system peaked during the recent financial crisis. In our panel regressions, we find the interconnectedness of large insurers with the insurance sector to be a significant driver of the insurers’ exposure to systemic risk. In contrast, the contribution of insurers to systemic risk appears to be primarily driven by the insurers’ leverage.     

Systemic risk and the refinancing ratchet effect

The combination of rising home prices, declining interest rates, and near-frictionless refinancing opportunities can create unintentional synchronization of homeowner leverage, leading to a “ratchet” effect on leverage because homes are indivisible and owner-occupants cannot raise equity to reduce leverage when home prices fall. Our simulation of the U.S. housing market yields potential losses of $1.7 trillion from June 2006 to December 2008 with cash-out refinancing vs. only $330 billion in the absence of cash-out refinancing. The refinancing ratchet effect is a new type of systemic risk in the financial system and does not rely on any dysfunctional behaviors.     

中国行业系统重要性评估及系统性风险防范研究

本文基于关联网络视角,提出度量行业系统性风险贡献的新方法——"留一法"(leave-one-out,LOO),将条件Granger因果检验方法与LOO相结合,评估行业的系统重要性程度.研究结果表明,虽然在传统无条件Granger因果检验方法和LOO方法下金融行业的系统重要性排名普遍靠后,但是各行业在两种研究方法中对应的系统重要性排名表现出很大的差异性;在全样本期内各行业之间普遍存在着较强的联动性,各行业的系统重要性排名会因不同极端事件冲击而发生明显变化.     

杠杆化与系统性风险的监管反思

企业、居民、金融机构和中央银行的经济行为改变着自身的资产负债情况，主动或被动地影响着彼此的杠杆程度。金融体系过度杠杆具有增加脆弱性、放大复杂性、顺周期等特点，直接引致系统性风险增加。与此同时，由于企业、居民、金融机构和中央银行的资产负债表相互关联，金融体系杠杆程度加深，意味着与之相联的经济部门关联度扩大，内在依赖性增强，从而进一步放大系统性风险。危机爆发后，为帮助降低金融机构杠杆程度，美联储运用多种创新工具，快速膨胀了自身资产负债规模，前所未有地增加了自身杠杆程度，形成新的系统性风险隐患。有鉴于此，我们应协调宏观经济政策和宏观审慎监管政策，引导虚拟经济与实体经济相互平衡，确保各经济部门负债和杠杆水平维持在健康、合理的区间。     

Systemic banks and the lender of last resort

We propose a model where systemic and non-systemic banks are exposed to liquidity shortfalls so that a lender of last resort policy is required. We find that it is socially optimal to override the decision of the central bank by the unconditional provision of liquidity support when the shortfall is large enough, i.e. in crisis times. The existence of systemic banks provides a rationale for the central bank to act as lender of last resort for non-systemic banks in a larger range of their liquidity shortfalls. However, the impact of systemic risk on the optimal allocation of the lender of last resort responsibilities for systemic banks depends on the relative size of counteracting effects.     

Analysis of Systemic Risk in the Insurance Industry

In this paper, we discuss the systemic relevance of the insurance sector. Systemic risk is defined as the propensity of a financial institution to be undercapitalised when the financial system as a whole is undercapitalised. By the law of large numbers, traditional lines of insurance with idiosyncratic non-catastrophic risks cannot be systemic. On the contrary, undiversified insurers specialised in activities whose insured risks are highly correlated with GDP are systemic. In the life insurance sector, some contractual clauses such as unhedged minimum guarantees and free options to surrender raise the chance of systemic relevance. On the contrary, life insurers satisfying the classic solvency capital requirements contribute to the liquidity of financial markets thanks to the long-termist approach of their portfolio management. Finally, using historical data in the U.S. on the contribution of different sectors to the aggregate volatility of the economy, we show that investment banking is almost twice as volatile as aggregate GDP, while insurance is one fifth as volatile as aggregate GDP. The insurance sector thus appears to be a stabilising force of the economy.     

Systemic risk and asymmetric responses in the financial industry

To date, an operational measure of systemic risk capturing nonlinear tail-comovements between system-wide and individual bank returns has not yet been developed. This paper proposes an extension of the CoVaR methodology in Adrian and Brunnermeier (2011) to capture the asymmetric response of the banking system to positive and negative shocks to the market-valued balance sheets of individual banks. Building on a comprehensive sample of U.S. banks in the period 1990–2010, the evidence in this paper shows that ignoring asymmetries that feature tail-interdependences may lead to a severe underestimation of systemic risk. On average, the relative impact on the system of a fall in individual market value is sevenfold that of an increase. Moreover, the downward bias in systemic-risk measuring from ignoring this asymmetric pattern increases with bank size. In particular, the conditional tail-comovement between the banking system and a bank that is losing market value belonging to the top size-sorted decile is nearly 5.5 times larger than the unconditional tail-comovement versus 3.3 times for banks in the bottom decile. The asymmetric model also produces much better fitting, with the restriction that gives rise to the standard symmetric model being rejected for most firms in the sample, particularly, in the segment of large-scale banks. This result is important from a regulatory and supervisory perspective, since the asymmetric generalization enhances the capacity to monitor systemic interdependences.