金融机构的系统重要性分析——金融网络中的系统风险衡量与成本分担

摘要

An operational macro-prudential approach to financial stability requires tools that attribute systemwide risk to individual institutions. Making use of constructs from financial network model and game theory, we find a new way to measure the systemic risk naming ＂systemic risk curve＂ which consider the structure of the financial network. In the same way, we explore two different approaches to measuring systemic importance： one related to banks＇ participation in systemic events （PA） and another one to their contribution to systemic risk di- rectly （CA）. Based on the China payment data from 2007 ~ 2010, we estimate the financial network model and get the systemic importance rank of different banks in China. The empirical implementation of our measure reveals that systemic importance depends materially on the bank＇s role in the interbank network and implies that prudential authorities should be careful in choosing the underlying approach.%基于金融网络模型对风险扩散机制的分析，本文尝试将金融网络结构因素纳入到对系统风险的衡量中，并依此建立了以“直接贡献”和“间接参与”两种方式分析和评价金融机构系统重要性的模式。在结合我国2007～2010年的银行间支付结算数据基础上，本文对国内主要银行的系统重要性水平开展了综合评测，并进一步讨论了影响机构系统重要性水平的因素。通过分析：（1）考虑了金融网络结构对整个系统的影响，构建了“系统风险曲线”，对金融网络条件下的系统风险进行了重新度量；（2）理论上将单一金融机构对整个系统的影响区分为直接影响与间接参与影响两部分，并分别使用“冲击测试”与“Shapley—Value”测算了两种效应所造成的全系统损失；（3）实证上，依据数值模拟计算的结果，本文估计得到了当前金融网络条件下我国各银行机构的系统重要性分值及排序，为宏观审慎工具的设计、开发及进一步运用打下了基础。