金融风险溢出效应研究——基于我国银行业和证 券业的CoVaR模型分析政治经济学专业论文.docxVIP

i i 摘要 对金融风险的研究一直以来都是研究的热点问题，但是作为金融风险研究关 键的金融风险测量方法多停留在对单个金融机构或市场的风险测量上。现阶段， 我国金融市场中各机构之间的联系也逐渐紧密，金融业逐渐由分业经营走向混业 经营。在这种情况下，金融市场中单一或部分金融机构发生的风险损失事件往往 会通过各种渠道迅速扩散到整个的金融市场，通过风险溢出效应引发系统性风 险。最常见的混业经营——银行业与证券业，两者在国民经济中具有重要地位， 研究两者风险之间的关系具有重要的现实意义。 本文阐述了金融风险理论的研究现状，梳理了金融风险理论的发展脉络，确 立了研究的基点；然后遵循由一般到特殊的逻辑关系，在论述了金融风险及溢出 效应的相关理论的基础上，具体研究了作为金融业重要组成部分的银行业和证券 业的风险以及它们之间的风险溢出效应。在理论分析的基础上，运用 CoVaR 模型 测算了银行业和证券业的风险及溢出效应，研究显示 CoVaR 模型比 VaR 模型在测 算风险方面更具优势，能更加全面的反映金融机构所面临的的风险。具体来说， 银行业与证券业之间存在正的双向风险溢出效应，但影响程度具有不对称性，银 行业对证券业的风险溢出效应要远远大于证券业对银行业的风险溢出效应，并且 随着分位数的递减风险溢出效应增强。因此，在金融融合过程中为减少金融风险 的溢出效应需加强审慎监管，注意防范系统性风险。 关键词： 金融风险 溢出效应 CoVaR 模型 Abstract Study problem of financial risk has been a hot issue ， however ， risk measurement technology ,as the key part of studying financial risk, is primarily around the risk of individual financial institutions or markets and relatively backward. At present, with the trend of financial markets integration, China’s the financial institutions or markets are gradually from separate operation to mixed operation. In this case, a single or part of the financial institutions in risk could quickly spread to the whole financial market through various channels. That is to say, systemic risk could be caused by risk spillover effect. banking and securities is one of the most common mixed operation, which plays an important role in the national economy, and research the relationship between the two risk is of great significance. VaR model, which is widely used, has played an important role in measuring financial risk, but it does not capture the systemic risk. The newly developed CoVaR model is better to overcome the defects. CoVaR, considering the risk of financial institutions on the whole system ,is a more effective method that measuring the crisis faced by the agency itself. It is also advantageous for the financial regulators to monitor the changes of risk timely. The research on spillover of financial risk is essential to financial institutions, financial mark