基于传染过程的我国上市银行系统风险产生机理及测算分析-mechanism and calculation analysis of system risk of listed banks in china based on infectious process.docxVIP

优秀毕业论文 精品参考文献资料 Abstract The bank is the most important institution in the financial market which plays an essential role in economic development. The more developed the bank is , the more close link between banks. On one hand, financial intermediation can facilitate banks, on the other hand this will enhance the contagion effect, even if the individual banks risk did not increase. This article will focus the risk infection for bank and the risk of the banking system. The purpose of this paper is to estimate the risk of the banking system and provide a reference for Chinas banks and regulatory authorities on risk operation. This article will measure system risk from two aspects, including asset prices and bank balance table for Chinas listed banks from 2007 to 2011. First, the paper describes the theory, the mechanism of the banking system risks detailed in terms of asset prices and banks balance sheets, then estimates and analysis bank risk using the simulation method and the matrix method from two aspects for china’s listed banks. If one bank fails, we want to know how to influence the other banks and how to measure the effect of this influence. Finally, this article calculates the joint probability of default between banks from one bank’s default probability, in order to find the mechanism of the banking system risks and to confirm the results calculated before. We measure the systemic risk index from Chinas listed banks using the joint probability of default. In this paper, we study the bank systemic risk from two aspects. Through this analysis and estimates, we can understand the mechanism of the risk of the banking system, estimate Chinas banking system risk and the joint probability of default, measure the overall risk of the banks in China, providing a reference for managing authorities. Keywords: Systemic risk, Risk Mechanism, Risk measurement, Systemic risk index - III- 目 录 摘 要I  HYPERLINK \l _bookmark0 ABSTRACT II  HYPERLINK \l _bookmark1 目 录 III