关键词: 风险分配机制, 宏观审慎监管, 宏观审慎资本, 系统性风险

Abstract: Macroprudential regulations for banking system has become the consensus of scholars at home and abroad as well as the relevant regulatory agencies since the global financial crisis. However, most of regulations for banking system are microprudential regulations, namely regulating individual bank, while the macroprudential regulations for the whole banking system is lacking. The whole banking system is a banking network system, consisting of banks connected by interbank market. Therefore, the macroprudential regulation supervises the banking network system. At present, the research of constructing a dynamic Chinese banking network system and quantitative macroprudential regulations for it has not been studied yet. The present paper constructs a dynamic Chinese banking network system by collecting the actual data of 16 listed banks from 2008 to 2015, and then uses four risk allocation methods(Component VaR, Incremental VaR, Shapley value EL, ΔCoVaR)to study the macroprudential regulations methods for the Chinese banking network system. The research results show that the macroprudential regulations under the four risk allocation mechanisms all effectively improve the stability of the Chinese banking network system, and ΔCoVaR mechanism is the most significant, while Incremental VaR is the worst. In addition, we find that there is a positive correlation between the macroprudential capital and each bank's total assets under the mechanism of Incremental VaR, Shapley value EL, and Component VaR, which indicates that the macroprudential capital can be set by each bank's total assets under these three mechanisms. However, it is not related under the ΔCoVaR mechanism, and then the macroprudential capital under this mechanism should be set according to each bank's contribution to systemic risk. The present paper enriches the study of macroprudential regulations for banking system in China.

Key words: risk allocation mechanism, macroprudential regulations, macroprudential capital, systemic risk