基于CoVaR方法的商业银行系统性风险度量

发布时间：2018-03-08 09:13

本文选题：商业银行　切入点：系统性风险　出处：《山西财经大学》2013年硕士论文　论文类型：学位论文

【摘要】：2007年8月金融危机之后，各国银行业遭受了巨大的损失，大型银行的违约损失大范围的向国外传染、扩散，这样的恶性循环导致全球银行系统性风险的出现。由于银行系统性风险具有极强的传染性，破坏力极为震撼，一旦发生，就会危及整个金融体系，导致金融危机的出现，甚至整个全球经济都会受到影响，阻碍世界经济的发展，因此研究银行系统性风险的度量方法很有必要。中国银行业在此次金融危机中也受到了一定影响，各个银行和银行业整体影响有多大，对系统性风险的贡献度怎样，这就是本文要研究的内容。本文在对银行系统性风险度量的方法—VaR方法进行介绍的基础上，引出论文的主体CoVaR方法，并对其进行详细介绍，在分析论文所用到的模型及CoVaR的具体计算过程的前提下，运用CoVaR方法对我国上市银行的系统性风险进行实证分析。本文主要是对12家在上海证券交易所上市的商业银行进行研究，运用分位数回归方法计算得出各个银行的VaR和CoVaR，并由VaR和CoVaR计算得出各个银行和银行业整体的风险溢出效应及风险溢出率，实证结果表明国有商业银行的抗风险能力较强，，并有较好的防范风险的机制。由实证结果可以发现运用VaR方法测量各个银行与银行业整体之间的风险溢出效应，可能会导致银行业整体的风险水平被严重低估，而与传统的风险计量技术相比，CoVaR可以捕捉到金融机构的风险对其它金融机构的溢出效应，它可以通过捕捉金融机构的风险溢出效应，由此能够全面的表现出金融机构的风险，是一种更为全面、更为优化和更为有效的风险衡量方法。文章最后针对研究分析的结论，对整个银行体系的监管提出有效的政策建议。
[Abstract]:In August 2007, after the financial crisis, the banks of various countries suffered huge losses. The default losses of large banks spread abroad on a large scale. This vicious circle leads to the emergence of systemic risks in global banks. Because systemic risks in banks are extremely contagious and extremely destructive, once they occur, they will endanger the entire financial system and lead to the emergence of a financial crisis. Even the global economy as a whole will be affected, hindering the development of the world economy, so it is necessary to study the measurement of bank systemic risk. The Chinese banking industry has also been affected in this financial crisis. The content of this paper is how big the influence of each bank and banking is and how much it contributes to systemic risk. On the basis of introducing the method of bank systemic risk measurement, this paper introduces the main body CoVaR method of the paper, and introduces it in detail. On the premise of analyzing the model used in the paper and the concrete calculation process of CoVaR, Using the CoVaR method to analyze the systemic risk of the listed banks in China, this paper mainly studies 12 commercial banks listed on the Shanghai Stock Exchange. The VaR and CoVaR of each bank are calculated by quantile regression method, and the risk spillover effect and risk spillover rate of each bank and banking are calculated by VaR and CoVaR. The empirical results show that the state-owned commercial banks have strong anti-risk ability. And there is a better risk prevention mechanism. From the empirical results, we can find that using VaR method to measure the risk spillover effect between each bank and the banking industry as a whole may lead to the serious underestimation of the risk level of the banking industry as a whole. Compared with the traditional risk measurement technology, CoVaR can capture the spillover effect of financial institution risk to other financial institutions, it can capture the risk spillover effect of financial institution, so it can comprehensively show the risk of financial institution. It is a more comprehensive, more optimized and more effective method of risk measurement. Finally, based on the conclusions of the research and analysis, the paper puts forward effective policy recommendations for the supervision of the banking system as a whole.
【学位授予单位】：山西财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.33

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