中国商业银行系统性风险溢价实证研究

全球金融危机的爆发使得系统性风险的溢出效应受到普遍关注，同时也暴露出主流的风险度量方法VAR存在重大缺陷。论文借鉴最新的CoVaR方法以及分位数回归技术，衡量了我国商业银行的系统性风险溢价，实证研究发现：第一，国有银行的系统性风险溢价大于股份制商业银行；第二，无条件风险价值VaR和条件风险价值之间没有必然关联，以VaR为核心指标的现行监管政策不能有效防范系统性风险溢价；第三，银行的值不仅受金融体系共同风险冲击的影响，还受银行自身特质的影响。

Empirical Study on Systemic Risk Spillover of China Commercial Banks

The global financial crisis made systemic risk spillover draw general attention and expose major shortcomings of mainstream risk measurement methods—VAR.This paper measures the systematic risk premium of China commercial banks,using the latest CoVaR methods and quantile regression.It is found that the state-owned banks’systemic risk premium is greater than that of the joint-stock commercial banks,that there is no necessarily association between VAR and ΔCoVaR,the current regulatory policy can not effectively guard against systemic risk spillover,that is influenced not only by the common shocks of financial system,but also by bank’s own nature.