我国上市金融机构风险缓释能力影响因素研究

Research on the Influencing Factors of Risk Mitigation Ability of Listed Financial Institutions in China

摘要: 在全球金融机构倒闭危机频频发生的大背景下，金融机构的风险缓释能力影响因素值得深入探究。首先基于分位数回归模型构建我国35家上市金融机构2011~2021年的风险缓释指标和尾部风险指标，然后通过广义主成分分析对每家金融机构的28个指标降维成9个主成分因子，最后实证检验了金融机构尾部风险及基本面信息对其风险缓释能力的影响机制。研究发现：(1) 单家金融机构在极端事件的损失程度对其风险缓释能力具有显著的抑制作用；(2) 从企业基本面信息的角度出发，在综合考虑了机构的规模和股权结构、成长性、营运能力和盈利能力四个方面的指标后，结果发现主成分因子2 (代表规模和股权结构指标)对金融机构的风险缓释能力具有显著的促进作用；主成分因子3 (代表成长性能力指标)对金融机构的风险缓释能力具有显著的抑制作用。

Abstract: Against the backdrop of frequent global financial institution failures, it is imperative to explore the factors that influence the risk mitigation capacity of financial institutions. This study employs a quantile regression model to construct risk mitigation indicators and tail risk indicators for 35 listed financial institutions in China from 2011 to 2021. Additionally, a generalized principal component analysis is conducted to reduce 28 individual indicators of each financial institution into 9 principal component factors. Finally, an empirical investigation is carried out to examine the impact of tail risk and fundamental information on the risk mitigation capacity of financial institutions. The findings of this study are as follows: (1) The severity of losses experienced by individual financial institutions during extreme events significantly inhibits their risk mitigation capacity; (2) From the perspective of fundamental information, after considering indicators related to institution size and ownership structure, growth potential, operational capability, and profitability, it is found that principal component factor 2 (representing indicators related to institution size and ownership structure) significantly promotes the risk mitigation capacity of financial institutions. Similarly, principal component factor 3 (representing indicators related to growth potential) exhibits a significant negative effect on the risk mitigation capacity of financial institutions.