我国商业银行系统性风险预警思考--基于欧债危机视角

摘要

As Franco-Belgian Dexia bank going bankrupt in the European debt crisis in October 2010, systemic risk went into the public field of vision once again.Commercial bank’s systemic risk possesses the characteristics of complexity,uncertainty and negative externality.Theβcoefficient of Chinese commercial banks was measured by using the Sharp market model in order to observe changing trends of Chinese commercial bank’s systemic risk since the European debt crisis,especially at the beginning stage of European banks coming to crisis.Some corresponding suggestions were presented.%2009年底爆发了影响全球经济的欧洲主权债务危机，随着危机的不断发展与深化，欧洲银行系统性风险问题逐渐突显出来，并且其负外部性特征也逐渐开始对全球商业银行产生了负面影响。针对商业银行的系统性风险的复杂性、不确定性与外溢性问题，从欧债危机的角度出发，试图通过威廉·夏普提出的单指数模型测量我国上市商业银行的β系数，以此来观测自欧债危机爆发并不断发展深化后，我国上市商业银行系统性风险的变化情况，并给出相应的建议。