金融机构尤其是商业银行在全球经济、金融的重要地位和风险管理中可能造成的核心影响成为次贷危机后最受关注的问题之一.首先构建了中国系统重要性银行的评价体系,并利用主观均匀赋权方法,给出16家上市银行2004-2014年的动态评价结果;其次利用归一标准化的熵值法对该主观赋权结果进行校验,结果发现在动态时间中该指标体系的主、客观赋权结果除了对商业银行有很显著的梯队区分度外,还保持了较好的稳定和一致性.指标评价体系可为监管机构和商业银行的风险管理、资本要求等多方面管理提供借鉴和指导.
Financial systemic risk is one of the core issues for the stable of one country and the world,Wherein the systemically important financial institutions often become key nodes of the expansion and dissemination for a systemic risk.This paper firstly constructs evaluation frame for systemically important banks in China and uses subjective weighting approoach to give 2004-2014 dynamic evaluation for sixteen listed Chinese banks;Secondly,using normalized entropy method in order to verify the differences between subjective and objective weighting results.We find that either subjective weighting method or normalized entropy method,the evaluating results maintaine a good stability,consistency and significant discrimination.The Evaluation frame provides reference and guidance for regulators and commercial banks' risk management,capital requirements and other aspects of management.