业务关联视角下的影子银行交叉传染风险基于TGC模型的度量.docxVIP

业务关联视角下的影子银行交叉传染风 险——基于TGC模型的度量 方先明 方先明 南京大学经济学院 摘要： 影子银行业务关联复合使得其内部风险交叉传染，并诱发系统性金融风险，进 而危及金融安全。在业务关联的视角下，通过对未贴现银行承兑汇票、小额贷款 公司信贷业务、委托贷款与信托贷款等主要影子银行业务交叉运行机制的分析， 构建t-Garch-Copula模型对影子银行业务的交叉传染风险进行度量。研究发现, 影子银行交叉传染风险的形成源于资金交叉复合导致的信用错配、期限错配与流 动性错配;尽管影子银行交叉传染风险总体上可控，但四类主要的影子银行业务 均呈现正向的违约相依性；四类影子银行业务间发生风险交叉传染的概率值存在 显著差界，交叉风险损失的程度不一。为此，参与者需要基于对影子银行交叉传 染风险的考量追求收益，而监管者则应审慎把握监管力度，在防控影子银行交 叉传染风险的同吋使其活跃金融要素的功能得到充分发挥。 关键词： 影子银行； 业务关联; 交叉风险;t-Garch-Copula 模型; 作者简介：方先明（1969—），男，江苏高邮人，管理学博士（理论经济学博士 后），南京大学经济学院教授，博士研究牛导师，研究方向为金融投资和金融 数学。 收稿日期：2017-09-18 基金：国家社会科学基金项目“影子银行交叉传染风险度量及控制机制研 究” （14BGL031） Cross Infection Risk of Shadow Bankingfrom the Perspective of Business Relations:Metrics Based on the TGC Model FANG Xian—ming CHEN Chu School of Economics, Nanjing University; Abstract： The shadow banking business correlation makes the risk crossinfection. If the risk becomes serious, it would induce systemic financial risk, and even endanger the financial security. From the perspective of business relations, the paper analyzes the cross operation mechanism of the main shadow banking， such as the discount bank acceptancc bill, the credit business of micro credit company, theentrusted loan and the trust loan. Then the paper constructs t-Garch-Copula model to measure the cross infection risk of shadow banking. The results show that the formation of cross i nfec tion risk of shadow banking is due to the cred it mismatch, maturity mismatch and liquidity mismatch caused by cross combination of funds. Although the cross infection risk of the shadow banking is generally controllable, the four major shadow banking businesses exhibit positive default dependence. At the same time, there is a significant difference in the probability of cross inf ection between the four shadow banking busincss, and the degree of risk loss varies. Therefore, participants should pursue benefits on the consideration of cross infection risk of the shadow banking. Also, regulators should grasp the prudential supervisi