商业银行行业风险敞口与商业银行绩效

刘志洋; 苏辛

商业银行行业风险敞口与商业银行绩效

引用本文：刘志洋,苏辛.商业银行行业风险敞口与商业银行绩效[J].财经理论与实践,2016,(2):9-14

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作者	单位
刘志洋,苏辛	（1.东北师范大学经济学院，吉林长春130117；2.中国人民大学国际学院，江苏苏州215000）

中文摘要:商业银行的行业风险敞口与商业银行绩效密切相关。中国数据实证分析表明，银行财务报表中会计占比较大的行业并非是市场认为的银行风险敞口最大的行业；股份制商业银行对各行业风险敞口较高。整体上商业银行对各行业的风险敞口对商业银行股票波动率、收益率和市值与账面价值之比具有显著影响，但行业风险敞口对银行系统性风险贡献度的影响不显著。

中文关键词:风险敞口银行绩效 CoVaR

Industrial Risk Exposure and Performance of Commercial Banks

Abstract:There are close relationships between the performance and industrial risk exposure of commercial banks. Our empirical study based on Chinese listed commercial banks shows that industries that have a great proportion in banks' financial report are not necessarily the industries to which the market thinks that bank have a great risk exposure, and joint-stock commercial banks have a higher exposure to industries. In all, industrial factors have a significant impact on stock return, stock volatility and the ratio between the market value and the book value of listed commercial banks, but do not have significant impact on banks' systemic risk contribution.

keywords:risk exposure bank performance CoVaR

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