摘 要

当金融市场出现危机时，金融机构之间的借贷关系将进一步传递风险，我国现有金融体系中商业银行仍占据主导地位，起到对资金融通与配置的作用。一旦我国商业银行爆发风险，将会波及到整个金融体系，因而如何合理测度商业银行风险大小成为研究的一个思考方向。第十九次代表大会提出要防范系统性风险，同时考虑到银行系统性风险的传染性和负面外部性，并将当前中国金融状况纳入考虑，即金融市场之间的相关性有所加强，如果发生恶性冲击，传染性风险甚至会影响金融体系的稳定性，因此本文将重点研究传染性风险。

作为中国金融市场的重要参与者，商业银行是货币信贷业务的主要提供者。为了经济体系的平稳健康发展以及社会的和谐稳定，科学合理监管银行之间传染风险成为监管的目标之一。本文在总结国内外传染性风险测度研究成果的基础上，归纳了银行传染性风险的定义，总结了银行传染性风险的特点与形成机理。在定性分析后，基于分位数回归方法结合CoVaR方法建立模型对我国商业银行传染性风险进行测绘，然后对比分析了商业银行传染性风险溢出的大小。基于本文结果，针对工商银行这一系统重要性银行就防范传染性风险提出建议。

而实证结果表明：从CoVaR指标来看，中小型银行的条件风险价值普遍高于大型商业银行，而从%CoVaR指标来看，国有商业银行的风险溢出效应影响相对贡献度普遍高于中小型商业银行，以上指标综合说明国有商业银行对我国银行体系传染性风险影响巨大。而工商银行作为中国第一大行，本身具有一定防风险能力，但是对系统的传染性风险也做出了贡献。

关键词：商业银行；传染性风险；方法；分位数回归模型

Abstract

When the financial market is in crisis, the lending relationship between financial institutions will further transfer risks. Commercial banks in China's existing financial system still occupy a dominant position and play a role in the communication and allocation of financial resources. Once China’s commercial banks break out of the risk, it will affect the entire financial system. Therefore, how to reasonably measure the risk of commercial banks has become a research direction. The Nineteenth Congress proposed to guard against systematic risks, taking into account the contagious and negative externalities of the systemic risks of banks, and taking into account the current financial situation in China, that is, the correlation between financial markets has been strengthened. Vicious shocks occur and infectious risks may even affect the stability of the financial system. Therefore, this article will focus on infectious risks.

As an important participant in China's financial market, commercial banks are the main providers of money and credit business. For the smooth and healthy development of the economic system and the harmony and stability of the society, scientifically and reasonably monitoring the risk of infection among banks has become one of the objectives of supervision. This paper summarizes the research results of infectious risk measurement at home and abroad, sums up the definition of bank infectious risk, and summarizes the characteristics and formation mechanism of bank infectious risk. After qualitative analysis, a quantile regression method was combined with a method to establish a model for mapping the contagious risks of commercial banks in China, and then the size of contagious risk spillovers in commercial banks was compared and analyzed. Based on the results of this paper, ICBC, a systemically important bank, is advised to prevent infectious risks.

The empirical results show that, from the perspective of indicators, the conditional risk value of small and medium-sized banks is generally higher than that of large-scale commercial banks. From the perspective of indicators, the relative contribution of risk spillover effects of state-owned commercial banks is generally higher than that of small and medium-sized commercial banks. The indicators comprehensively show that state-owned commercial banks have a great impact on the contagious risks of China's banking system. ICBC, as the largest bank in China, has its own ability to prevent risks, but it also contributes to the infectious risks of the system.

Key Words：Commercial Bank; Infectious Risk; Method; Quantile Regression Model

目 录

第1章 绪论 1

1.1 研究背景 1

1.2 研究目的及意义 2

1.2.1 研究目的 2

1.2.2 研究意义 3

1.3 国内外研究现状 3

1.3.1 国外研究现状 3

1.3.2 国内研究现状 5

1.3.3 研究述评 6

1.4 研究内容及研究方法 6

1.4.1 研究内容 6

1.4.2 研究方法 7

第2章 商业银行传染性风险理论分析 8

2.1 商业银行传染性风险相关理论 8

2.1.1金融脆弱性假说 8

2.1.2 信息不对称理论 9

2.1.3 货币政策论 9

2.2 商业银行传染性风险成因分析 10

2.2.1 宏观影响因素 10

2.2.2 微观影响因素 10

2.3 商业银行传染性风险特征分析 11

2.3.1传染性风险 11

2.3.2 传染性风险产生机制 11

2.4 我国商业银行传染性隐患分析 12

第3章 基于CoVaR模型的商业银行传染性风险测度模型构建 13

3.1 商业银行传染性风险测度模型指标体系构建 13

3.2 CoVaR方法体系 13

3.2.1 VaR方法 13

3.2.2 CoVaR方法 14

3.3 分位数回归的CoVaR模型 15

3.3.1 分位数回归方法 15

3.3.2 基于分位数回归CoVaR方法的商业银行传染性风险模型构建 16

3.4 分位数回归的CoVaR模型的可行性分析 16

第4章 基于CoVaR模型的商业银行传染性风险实证分析 17

4.1 研究样本的选取与数据处理 17

4.1.1 样本选取 17

4.1.2 数据处理 19

4.2 传染性风险度量分析 19

4.2.1 商业银行与银行系统间的风险溢出效应度量 19

4.2.2上市商业银行CoVaR度量结果及分析 21

4.2.3 国内上市商业银行风险溢出效应的度量结果及分析 22

4.2.4 银行系统对各上市银行的风险溢出效应 24

4.3 政策建议 26

4.3.1 完善银行风险预警体系 26

4.3.2 加强系统重要性银行监管 27

4.3.3 完善银行信息公开制度 27

第5章 结论与展望 28

5.1 结论 28

5.2 展望 28

参考文献 30

致 谢 33

第1章 绪论

1.1 研究背景

金融自由化加强了各金融机构各种商业交易的频率和规模。在日益复杂的关系网络中，除了商业业务之间的直接联系之外，与相同的第三方机构也有间接关联，正是这些联系导致了金融机构的风险溢出。美国次贷危机的爆发正是因为金融业之间复杂的联系扩大了风险蔓延的范围，并导致风险转移到相关的跨国金融机构。