中国系统重要性银行附加资本计提机制研究——基于Copula-CoVaR模型
Research on Charge Mechanism of Additional Capital of Systemically Important Banks Based on Copula-CoVaR Model

在CoVaR风险度量框架的基础上建立系统重要性银行附加资本计提机制，旨在将风险溢出与资本计提挂钩。运用Copula-CoVaR模型测算商业银行对银行体系的风险溢出效应，考虑到额外的资本对溢出风险吸收作用，在控制每一家银行对银行系统的风险溢出一致的基础上确定银行的资本充足水平，进而确定对应的系统重要性银行附加资本的计提比例。
This paper establishes an additional risk capital charge mechanism of systemically important banks on the basis of CoVaR risk measurement framework, aiming at the capital being able to cover the risk spillover accurately. We use the Copula-CoVaR model to measure commercial banks' risk spillover effects and then determine their capital adequacy based on controlling each bank's systematic risk spillover consistently. Finally, according to its capital adequacy situation, the corresponding systemically important banks additional capital charge percentage is determined.