Page 46 - CCFA Journal - Third Issue

加中金融
风控大讲堂 Risk Management Forum
于是，系统性风险（Systemic Risk）思维应运而生，通过
时间和空间两个维度来刻画微观风险管理对宏观系统的整
体影响，从而衍生出和微观审慎监管相结合的宏观审慎监
管，共同治理金融体系的系统性风险。至此，现代风险管
理从产品、组合发展到机构整体，进而到整个体系，终于
从微观发展到宏观层面。
由此可见，系统性风险思维是源自非系统性的金融机构风
险管理思维，无论是从其计量还是管理（监管），都是聚
焦于对微观金融机构的作用，而且主要是通过对监管资本
要求的作用，如系统性重要性金融机构的附加资本要求，
逆周期资本调节等等。系统性风险的概念反映的是从宏观
的角度来看微观对宏观的影响，进而对微观进行监管和调
控，这和传统的金融危机研究思路有很大的差异。此外，
系统性风险的衡量方法大多都源自金融机构风险量化，如
从 VaR 衍生出 CoVaR,从 ES 衍生出 MES,等等。因此，不
懂现代金融机构风险管理，很难对系统性风险有深刻的理
解和把握。
三、系统性风险提出的意义
系统性风险不是金融危机的时髦的代名词，也甚至不简单
等同于“金融危机风险”，其背后有着数十年专业、系统
和全面的现代金融机构风险管理发展的支撑。在此认识下，
我们可以看到系统性风险思维对我们加强宏观风险管理和
牢牢守住系统性风险底线的重要意义，至少表现在以下两
个方面。
（一） 有利于加强宏观风险管理和监管的微观基础
系统性风险概念提出的意义主要在于将全球范围内发展
了数十年的非常专业和系统化的现代金融机构风险管理的
理念和技术方法（如风险计量和资本管理及监管）应用于
宏观层面的风险思维和管理，进而对微观层面的机构和交
易进行相应的管理和调控，以应对由微观行为对宏观系统
不利的影响。
这相比于传统的金融危机理论方法主要关注金融制度和金
融市场及其一些孤立的交易现象而言，基于现代金融机构
风险管理发展而提出的系统性风险明显增强了金融危机防
范的微观基础，尤其是金融机构层面的风险和资本的计量、
决策、交易、管理及监管等全面的经营管理行为，由此打
通微观和宏观的专业化的风险管理机制联系。
因此，我们要明确系统性风险概念之要义和重点不是在于
关注整个系统是否会崩溃，不是要试图去预测金融危机，
而是要关注风险在系统内的产生和传导机制，及其在此机
制下谁（系统重要性机构、业务和机制）会导致系统崩溃，
从而有针对性地加强对系统重要性机构与业务的监管和管
理，同时也要完善系统的风险运行机制。 这就如同单纯预
测一个正常人何时死亡意义不大，而识别和监测其某个具
有系统重要性的器官功能日常运行风险及其对人体整体的
影响却具有重要的意义。
此外，系统性风险是一种日常风险，系统风险管理也是一
种日常风险管理活动，这与金融危机管理和应对完全不同，
在远离金融危机的日子里也是需要日常开展的管理活动。
这显然有助于我们防范金融危机的常态化和机制化。
CCFA JOURNAL OF FINANCE
Page 46
加中金融
As a result, systemic risk emerged. Through the two
dimensional (time and space) description of the overall impact
of micro-risk management on the macro-system, it has
developed an overall management system of the financial
systemic risk by combining prudential macro regulations with
micro regulations. Modern risk management has been
developed from products and portfolio level to the enterprise
level, and then to the overall system, and finally from the
micro-level to the macro-level.
Systemic risk management is originated from non-systemic risk
management of financial institutions and focuses on micro
level, either measurement or governance (regulation), such as
systemically important financial institutions’ supplementary
capital requirements, countercyclical capital buffer and so on.
In addition, the measurement methods of systemic risk mostly
come from the quantification of financial institutions' risk, such
as CoVaR from VaR and MES from ES.
3. Implication of systemic risk
Systemic risk is not synonymous with the financial crisis, nor
equivalent to "financial crisis risk". It is evolving with
comprehensive and systematic development of modern
financial risk management. Management of systemic risk is
important to strengthen macro-risk management, at least in
the following two aspects.
(1) Strengthening the micro-foundation of macro-risk
management and supervision.
The significance of the concept of systemic risk lies mainly in
macro-level risk management application of sophisticated and
comprehensive approaches of modern financial risk
management (such as risk measurement, capital management
and supervision), which have been developed globally for
decades. An introduction of systemic risk and management will
apply these approaches to the macro level and adjust them at
the micro level (individual institutions or transactions), in
response to adverse effects of micro-activities on the macro-
systems..
The traditional theory and approach to dealing with financial
crisis mainly focus on financial systems, markets and isolated
transactions. Management of systemic risk is based on modern
risk management and has strengthened the micro-foundation
of financial crisis prevention, especially operational activities
related to measurement of risks and capital, strategic decision,
governance, and supervision at the enterprise level of financial
institutions. All of these have built up the connection of
comprehensive micro and macro risk management.
Therefore, the key concepts of systemic risk neither focus on
whether the whole system will collapse, nor try to predict the
financial crisis, but to focus on what mechanism the risk would
generate and spread across the system, and what (systemically
important financial institutions, activities, or mechanisms)
would lead to system collapse, and then to strengthen the
supervision and management of the SIFI and its activities as
well as the operating process of risk management.
In addition, systemic risk is a day-to-day risk, and requires daily
risk management, which is completely different from financial
crisis management and response. The daily risk management
of systemic risk must be done even during the normal time far
away from the financial crisis. This clearly helps us to normalize
prevention of financial crises.
MARCH 2021