摘要
运用Shapley值方法对中国上市银行的系统重要性进行实证分析,通过将系统性风险分配到单个银行中来度量银行的系统重要性。结果表明,中国工商银行、中国银行更具有系统重要性,交通银行虽然规模较大但Shapley值却相对较小,说明并非规模大的银行就具有系统重要性。
By using the Shapley Value, this paper tries to analyze and estimate the sys- temic importance of China＇ s listed banks by distributing the systemic risk into a single bank. The results indicate that the Industrial and Commercial Bank of China and the Bank of China are of more systemic importance, while the Bank of Communications is of large scale but has a relatively small Shapely Value, which indicates that not all large banks have systemic importance.
出处
《广东金融学院学报》
CSSCI
北大核心
2012年第1期55-63,共9页
Journal of Guangdong University of Finance
