我国商业银行系统性风险评估与实证研究——基于预期期望损失方法测度

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Abstract This paper examines systemic risk in commercial bank in our country by using systemic expected shortfall and marginal expected losses as a measure. The systemic risk is decomposed into a single agency system risk contribution， as importance index system， by systemic expected shortfall method using the panel data of 14 listed commercial Banks in China to assess systemic risk level of Chinese commercial Banks. The result shows that the importance of state-owned banking system while occupied the main position， but no systemic risk contribution is much lower than other commercial Banks， the main reason is that state-owned Banks， cash flow is more stable， and preferential policy to weaken the government’s recessive guarantee systemic risk has a great contribution to the association， the other city commercial Banks in China are more likely to bring systemic risk， though relatively small， but the assets expanded too fast， earnings volatility， low capital adequacy ratio and the debt ratio is higher， compared with the state-owned Banks need more the focus of the regulatory oversight. This show the commercial banks should become the focus of China’s financial supervision.

Key words： listed commercial banks systemic expected shortfall marginal expected loss systemic risk

Received: 09 September 2014 Published: 15 December 2014

Corresponding Authors: FENG Chao E-mail: 387945571@qq.com

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Cite this article:

FENG Tiao,TAN Hao-Yang. Systemic Risk Assessment and Empirical Study of Commercial Bank of China：Based on Systemic Expected Shortfall Measurement[J]. , 2014, (12): 81-90.

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http://zzs.zjgsu.edu.cn/gl/EN/ OR http://zzs.zjgsu.edu.cn/gl/EN/Y2014/V/I12/81

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