Page 44 - CCFA Journal - Third Issue

加中金融
风控大讲堂 Risk Management Forum 加中金融

系统性风险在中国的特点及应对策略

The Characteristics and Response Strategies of Systemic Risk in China

【 作者】陈忠阳，现任中国人民大学财政金融学院教授、博士生导师，中国人民大
学重阳金融研究院高级研究员。曾担任中国人民大学国际学院副院长、学术委员会主
席，金融风险管理学科建设负责人，创办了中国首个金融机构风险管理方向的金融专
业硕士和博士研究生项目。

Chen Zhongyang is currently a professor in the Renmin (People’s) University of China, and a
senior researcher at the Chongyang Institute for Financial Studies. He was a Vice Dean of
the International College of Renmin University, Chairman of the Academic Committee, and
Head of Financial Risk Management, and founded the master's and doctoral programs in
Financial Institutions Risk Management in China.

【引言】

系统性风险是一个相对较新的概念，被认为是 2008 年金融危机的导火索和真正的罪魁祸首。但人们经常将 systemic risk
与 systematic risk 混为一谈。陈教授的这篇文章将探讨两种风险之间的区别，以及系统性风险(systemic risk）在中国的
特征和管理方法。
Introduction

Systemic risk is a relatively new concept and was considered as a key contributor and the real culprit to the 2008 financial crisis. People
often confuse systemic risk with systematic risk. This article from Professor Chen will address the differences between the two types
of risks, characteristics and management of systemic risk in China.

系统性风险是什么风险？它的提出有什么意义？中国的金 What are systemic risk and its implication? What are the
融系统性风险有什么特点？ characteristics of the systemic risk in China’s financial system?

一. 系统性风险不是金融危机，也不能够简单等同于金融 1. The systemic risk is neither a financial crisis, nor it can be
危机的可能性 simply equivalent with the possibility of a financial crisis.

系统性风险是从巴塞尔协议舶来的现代风险管理概念之一。 Systemic risk is one of the modern risk management concepts
其真正的内涵即便是对专业人士而言也需要一番斟酌来加 embedded in the Basel Accord. There are two forms of risk:
以明确。最容易导致困惑和误区的就是我们现在有两个从 Systematic Risk and Systemic Risk. The two forms of risk have
西方舶来的中文名称相同但英文不同的“系统性风险”： fundamentally different meanings and are two different
Systematic Risk 和 Systemic Risk。许多人将两者混为一谈， concepts developed in financial risk management history.
其实这两个概念存在根本差异，是在风险管理发展的不同
历史阶段按照完全不同的风险逻辑产生的两个概念。 The former is from the perspective of micro-investors to see
the impacts of macro factors. The systematic risk is the overall
前者是站在微观投资者的视角看宏观对微观的影响，是 and pervasive risk caused by a variety of troubling factors. In
“覆巢之下无完卵”的风险，在马科维茨的组合管理理论 Markowitz's theory of portfolio management, it refers to
中是指不能够多样化分散的风险，主要是通过定价覆盖或 undiversifiable risk that can be mitigated only through the risk-
对冲转移来加以管理。而后者，也就是自2008年金融危机 based pricing or hedging. The latter refers to the micro-impact
以来我们关注得最多的“系统性风险”，是指站在宏观的 on the macro from the perspective of macro management and
视角看微观对宏观的影响，是“一粒老鼠屎搞坏一锅粥” describes an event that can spark a major collapse in a specific
的风险，是“大家齐步过桥”的“共振”风险，是“火烧 industry or the broader economy, which is the risk implied by
连营”的“关联”和“传染”风险。在这个系统性风险的 the 2008 financial crisis. Under the concept of systemic risk,
概念下，我们仍然关注的是微观的行为，治理的也是微观 we are concerned with the micro-behavior and the
的行为。管理的主要方法是通过提出“系统性重要性机构” corresponding governance is also at the micro level. The main
来关注谁可能会成为那粒“老鼠屎”，通过“系统重要性 approach to addressing systemic risk is to identify the source
业务”来关注“连营”被“火烧”的风险，通过“逆周期 (i.e., too big to fail) through proposing systemically important
资本要求”来调节大家对经济周期共同预期带来的“亲周 financial institutions (SIFI), and to attenuate cascading failure
期”的“共振”风险。 arising from procyclicality and from the interconnectedness of
the financial institutions during the economic cycle through
promoting countercyclical capital buffer.

CCFA JOURNAL OF FINANCE MARCH 2021
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