基于Shapley值方法的中国上市银行系统重要性研究

被引：10

作者：

张娜娜 ^{[1
]}

陈超 ^{[1
]}

机构：

[1] 浙江工商大学金融学院

来源：

关键词：

系统重要性; 系统性风险; Shapley值; ES; 蒙特卡洛模拟;

D O I：

暂无

中图分类号：

F832.3 [金融组织、银行]; F224 [经济数学方法];

学科分类号：

020204 ; 0701 ; 070104 ; 1201 ;

摘要：

运用Shapley值方法对中国上市银行的系统重要性进行实证分析,通过将系统性风险分配到单个银行中来度量银行的系统重要性。结果表明,中国工商银行、中国银行更具有系统重要性,交通银行虽然规模较大但Shapley值却相对较小,说明并非规模大的银行就具有系统重要性。

引用

页码：55 / 63

页数：9

共 11 条

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