系统性风险度量.docVIP

PAGE PAGE 23 系统性风险度量 摘要：随着经济全球化进程的不断加快，不同经济体之间的联系越来越紧密，使得经济危机的传导也越来越迅速。每次个别国家或地区的金融危机都会引起全球金融体系的动荡，其中不断暴露出系统性风险分析度量的重要性。因此我们需要深入分析研究系统性风险。本文参照Brownlees等人对系统性风险的度量方法的研究，选取有代表性的10家中国上市银行，对2008年1月1日到2014年12月31日期间的系统性风险应用DDC-GARCH模型和非参数估计方法、边际预期损失法进行了度量。通过分析得出：银行资产的规模和边际预期损失以及杠杆率是影响中国上市银行系统性风险的主要因素。在市场收益率下降程度相同的情况下，大型商业银行的股权价值的损失比城市商业银行和股份制商业银行的股权价值损失小的多。 关键词:上市银行；系统性风险；DCC-GARCH模型；边际预期损失法； ABSTRACT With the accelerating process of economic globalization, the links between different economies more closely, so that the conduction of the economic crisis more and more rapidly. Every individual countries or regions of the financial crisis will lead to instability of the global financial system, which constantly measure the importance of exposing the systemic risk analysis. Therefore, we need to conduct in-depth study of systemic risk. In this paper, under the influence of Brownlees and others on the measure systemic risk, select large commercial banks, joint-stock commercial banks, city commercial banks, these three different types and representative of a total of 10 Chinese listed banks, in January 2008 in Application of systemic risk DDC-GARCH model 2 to December 31, 2014, and non-parametric estimation methods, the marginal expected loss method of measurement. By analyzing the results we can get that: the size of bank assets, the marginal expected loss and the leverage ratio are major factors affecting systemic risk of Chinas listed banks. And when the market rate of return is extremely reduced, the equity value of the loss of the large commercial banks are relatively small, and the loss of value of equity joint-stock commercial banks and city commercial banks are relatively large. Key Words: Listed banks；Systemic risk； DCC-GARCH Model；MES； 一、引言 （一）研究背景及意义 目前随着金融新工具的出现和金融新消息的快速传播，使得全世界的金融机构之间形成了一种相互依存且错综复杂的关系，当任何一个金融体系或者是金融机构产生了巨大问题的时候，他们的传导出的蝴蝶效应是十分明显的，一个小的金融机构发生危机，可能会导致其整个经济体产生巨大动荡。通过对近些年金融危机的爆发的影响来看，每次个别国家或地区的金融危机都会引起全球金融体系的动荡，并且暴露出其中的系统性风险。94年墨西哥货币比索的下跌，导致其汇率和股价的暴