摘要
本文详细介绍系统性风险的定义、监管现状和测量方法,通过研究我国16家上市银行的条件风险价值(CoVaR)来分析银行业的系统性风险,进而为监管机构提供有价值的参考建议。
In November 2018, the People's Bank of China issued the 《Guidance on Improving the Supervision of Systemically Important Financial Institutions》 which determined the measurement methods and processes of China's SIFIs, opening a new era of systemic financial risk prevention in China. This paper is to study the systemic risks of China’s banking sector by examining the conditional value at risk (CoVaR) for 16 publicly-listed Chinese commercial banks, and therefore to provide helpful information for regulatory authorities.
作者
薛高
XUE Gao(Xi'an Branch PBC,Xi'an Shaanxi 710075)
出处
《西部金融》
2019年第3期45-49,56,共6页
West China Finance
