我国系统重要性银行的实证研究
发布时间：2018-08-22 13:33
【摘要】：2008年美国次贷危机衍生而来的金融海啸席卷全球，世界金融体系乃至各国实体经济等都遭受严重损害，此次危机引起了国际社会对系统重要性金融机构问题的广泛关注。目前测量系统重要性金融机构的主要方法有指标法、Shapley法和CoVaR模型。本文在极值理论的基础上，运用一种条件概率和无条件概率之差测量系统重要性银行的方法，对14家国内商业银行、6家美国金融机构以及沪深300指数和标准普尔指数的日收益率数据进行分析，得出每只股票和两个指数的VaR值，再通过系统重要性银行的测量方法，先测量当一家银行发生危机时另一家银行风险的增加值，接着测量当一个或一组特定的银行发生危机时给银行系统所带来的风险，得出建行、工行、中行和交行是我国银行业中的系统重要性银行，并且银行的规模不足以作为判断系统重要性的一个绝对标准，同时分析了美国金融机构对我国银行的风险影响，结果表明我国银行的风险溢出效应大多来自国内银行。
[Abstract]:The financial tsunami that came from the subprime mortgage crisis in the United States in 2008 swept the world, the world financial system and even the real economy of various countries were seriously damaged. This crisis has caused widespread concern to the systemically important financial institutions in the international community. At present, the main methods of measuring system-importance financial institutions are index method and CoVaR model. On the basis of extreme value theory, this paper uses a method to measure the difference between conditional probability and unconditional probability. The daily yield data of 14 domestic commercial banks and 6 American financial institutions as well as the Shanghai and Shenzhen 300 Index and the Standard & Poor's Index are analyzed. The VaR values of each stock and two indexes are obtained, and then the systemically important banks are used to measure them. First measuring the added value of risk to another bank when one bank is in crisis, and then measuring the risks to the banking system when one or a particular group of banks are in crisis, to arrive at CCB, ICBC, The Bank of China and Bank of Communications are systemically important banks in China's banking sector, and the size of the banks is not enough to serve as an absolute criterion for judging the importance of the system. At the same time, this paper analyzes the risk impact of American financial institutions on Chinese banks. The results show that most of the risk spillover effects of Chinese banks come from domestic banks.
【学位授予单位】：西安电子科技大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.33
本文编号：2197247
[Abstract]:The financial tsunami that came from the subprime mortgage crisis in the United States in 2008 swept the world, the world financial system and even the real economy of various countries were seriously damaged. This crisis has caused widespread concern to the systemically important financial institutions in the international community. At present, the main methods of measuring system-importance financial institutions are index method and CoVaR model. On the basis of extreme value theory, this paper uses a method to measure the difference between conditional probability and unconditional probability. The daily yield data of 14 domestic commercial banks and 6 American financial institutions as well as the Shanghai and Shenzhen 300 Index and the Standard & Poor's Index are analyzed. The VaR values of each stock and two indexes are obtained, and then the systemically important banks are used to measure them. First measuring the added value of risk to another bank when one bank is in crisis, and then measuring the risks to the banking system when one or a particular group of banks are in crisis, to arrive at CCB, ICBC, The Bank of China and Bank of Communications are systemically important banks in China's banking sector, and the size of the banks is not enough to serve as an absolute criterion for judging the importance of the system. At the same time, this paper analyzes the risk impact of American financial institutions on Chinese banks. The results show that most of the risk spillover effects of Chinese banks come from domestic banks.
【学位授予单位】：西安电子科技大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.33
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