| 摘要: |
| 2008年国际金融危机爆发后，世界各国对金融风险压力的测试逐渐从基于微观审慎监管的关注个体金融机构经营风险向基于宏观审慎监管的关注金融体系系统性风险转变，具体表现为压力测试模型融合了偿付能力风险和流动性风险。但系统性金融风险压力测试模型主要采用的还是银行业的微观数据，反映出监管当局希望通过控制银行业的经营行为来防止系统性金融风险的发生与传染，是一个从微观到宏观的逐渐上升的监管思路与过程。应进一步明确系统性金融风险压力测试是金融风险管理的工具之一，与其他风险管理工具是互为补充的，也具有其局限性；要基于中国国情完善压力场景的设计，并借鉴最新研究成果设计有效的压力测试模型，进而提高金融风险管理的有效性。 |
| 关键词: 压力测试模型 系统性金融风险 宏观审慎监管 微观审慎监管 偿付能力风险 流动性风险 压力场景 |
| DOI： |
| 分类号: |
| 基金项目: |
|
| International Practice of Financial Regulation’s Systemic Risks Stress Testing after Financial Crisis and Its Policy Implications for China |
|
LIU Zhi-yang
|
|
School of Economics, Northeast Normal University, Jilin Changchun 130117, China
|
| Abstract: |
| The 2008 financial crisis witnesses the stress testing transition from micro-prudential regulation which mainly focuses on single financial institution to macro-prudential regulation which mainly focuses on systemic risk. In practice, stress testing model integrates payment capacity risk and liquidity risk, however, the stress testing model for systematic financial risk mainly uses micro-data of bank industry, reflects that supervision authorities hope to prevent the happening and contagion of systematic financial risk via controlling banking business and is the gradually rising process from micro-supervision to macro-supervision. We should further clarify that systematic financial risk stress testing is one of management tools for financial management, can be supplementary to other risk management tools and has its limitation, complete stress situation design based on China’s reality, use the research results to design effective stress testing model and promote the effectiveness of financial risk management. |
| Key words: stress testing model systemic financial risk macro-prudential regulation micro-prudential regulation payment capacity risk liquidity risk stress situation |
