多维度金融风险度量的统计分析方法研究

发布时间：2018-04-15 20:08

本文选题：多维度 + 金融风险　；参考：《暨南大学》2013年硕士论文

【摘要】：经济的发展越来越离不开金融的支持，而金融风险特别是金融危机对经济的影响又是巨大的，如今不仅是经济的全球化而且金融的全球化也在不断的深化。因此，金融对经济的双重影响是挥之不去的。如何去量化金融风险和对金融风险预警是目前急需解决的问题之一。虽然金融全球化不断深化，但因各国经济发展程度、政治体制、文化不同，所以，各国的金融风险情况也是有差异的。基于中国的实际情况，本文从多维角度出发来研究中国的金融风险度量的统计分析方法。首先，本文阐述了金融风险相关理论。金融风险理论主要包括以下四个方面：金融风险成因、金融风险指标、金融风险统计分析方法和金融风险分类等理论；其次，本文建立二层次五个维度的金融风险指标体系。通过CRITIC和极大不相关法分别对五个维度金融风险指标进行筛选，建立了宏观经济维度、银行与货币维度、泡沫维度、外部冲击维度和债务维度的金融风险指标体系。第三，金融风险度量研究。通过二层次CRITC-灰色关联模型对金融风险进行综合评价，以此来对每个维度风险的五个指标降为一个，最后将25个指标降为1维的整体金融风险。利用VaR模型来对降维后的金融风险进行量化，量化后的金融风险与中国的实际情况是非常吻合；第四，对未来五期金融风险进行预测。通过采用HLOT模型对量化的金融风险进行预测，未来五年整体金融风险仍处于较高区域。
[Abstract]:The development of economy is more and more inseparable from the financial support, and the financial risk, especially the financial crisis, has a great impact on the economy. Nowadays, not only the globalization of economy, but also the globalization of finance is deepening.Therefore, the dual impact of finance on the economy is lingering.How to quantify financial risk and early warning of financial risk is one of the problems that need to be solved.Although financial globalization continues to deepen, there are differences in the financial risk situation among countries because of the different levels of economic development, political system and culture.Based on the actual situation in China, this paper studies the statistical analysis method of financial risk measurement in China from multidimensional perspective.First, this article elaborated the financial risk correlation theory.The financial risk theory mainly includes the following four aspects: the cause of financial risk, the financial risk index, the financial risk statistical analysis method and the financial risk classification theory; secondly, this paper establishes the financial risk index system with two levels and five dimensions.The financial risk index system of macroeconomic dimension, bank and currency dimension, bubble dimension, external shock dimension and debt dimension is established by CRITIC and maximum discorrelation method.Third, financial risk measurement research.A two-level CRITC- grey relational model is used to evaluate the financial risk comprehensively, so that the five indexes of each dimension risk are reduced to one, and the 25 indexes are reduced to the overall financial risk of one dimension.Using VaR model to quantify the financial risk after dimensionality reduction, the quantitative financial risk is very consistent with the actual situation in China. Fourthly, the financial risk in the next five periods is predicted.By using HLOT model to predict the quantitative financial risk, the overall financial risk is still in a higher region in the next five years.
【学位授予单位】：暨南大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F224;F830.99

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