摘要
本文测度在未发生危机和发生危机期间中国14家上市商业银行各自对整个金融系统风险的边际贡献程度,验证MES和SES之间的显著性关系,通过建立面板计量回归模型对银行系统性风险边际贡献度的影响因素进行实证分析。实证结果表明:银行自身的VaR与其对整个金融系统风险边际贡献度之间并无显著关系;银行自身的不良贷款率、杠杆率和总资产收益率是决定其对整个金融系统风险边际贡献度的重要因素;非危机时期对金融系统风险边际贡献较大的银行,在危机期间其单位资产对整个金融系统风险的边际贡献也较大。
This paper measures the Chinese 14 listed commercial banks＇ marginal contribution to the risks of the whole finan- cial system during the crisis and non-crisis, verifies the significant relationship between MES and SES, and empirically analyses the factors to afftect the marginal contribution to the sytematic risks of banks with a panel-regression model. The results of the analysis show that the bank＇ s VaR has no significant relationship with the marginal contribution to the risks of the whole finan- cial system, but the bank＇s NPL ratio, leverage ratio and the return on the total assets are the important factors to affect the marginal contribution; if a bank has more marginal contribution during the non-crisis, so does the bank＇s unit asset during the crisis.
出处
《金融论坛》
CSSCI
北大核心
2013年第2期16-21,79,共7页
Finance Forum
基金
河南省软科学项目(122400440103)的支持
