| 摘要: |
| 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。 |
| 关键词: 系统性风险；VaR；KMV模型 |
| DOI： |
| 分类号:F830 |
| 基金项目:教育部人文社会科学研究青年基金项目《货币政策与宏观审慎监管协同机制及有效性检验》(项目编号:19YJC790088)阶段性研究成果。 |
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| Research on Systematic Risks of Commercial Banks Based on VaR Model |
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LIU Zhiyang
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Northeast Normal University
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| Abstract: |
| Using China's ex-2016 listed commercial banks as samples, this paper calculates systemic risks VaR. On the whole, China's banking system has a low systemic risk, whereas the VaR in 2015 is relatively high. Empirical study shows that China's commercial banks have hold enough capital to absorb systemic risk. As to the contribution of systemic risks VaR, this paper shows that SPD Bank, Bank of China, Agricultural Bank of China and Communication Bank of China stands for the most. Besides, systemic risks VaR is significantly affected by GDP growth rate and the return of HS300. |
| Key words: Systemic Risk; VaR; KMV Model |
