我国金融机构的系统重要性评估:基于多元极值理论

doi:10.16381/j.cnki.issn1003-207x.2020.05.002

Abstract

Abstract: After the 2008 financial crisis, too-big-to-fail issue for financial institutions and its systemic risk have attracted more and more attention. In this paper, based on the theory of multivariate extreme value theory (EVT) and copula function, the multidimensional evaluation indexes are proposed, and a comprehensive assessment of systemic importance is made for 26 listed financial institutions in China. The results of the empirical study show that: (1) The banking sector in our country has made great contributions to systemic risk and plays an important role in the financial system;(2) Scale is the main factor in assessment of systemic importance, meanwhile there are also other factors having impact on systemic importance, some joint-equity commercial banks and city commercial banks should also be included as the focus of the financial regulatory.

Key words: systemically important financial institution, financial regulation, EVT, systemic risk

CLC Number:

F830

LI Hong-quan, HE Min-yuan, HUANG Ying-ying. The Evaluation of Systemically Important Financial Institution of China: Based on Multivariate Extreme Value Theory[J]. Chinese Journal of Management Science, 2020, 28(5): 14-24.

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The Evaluation of Systemically Important Financial Institution of China: Based on Multivariate Extreme Value Theory

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