风险模型之殇与对金融风险监管的审视——根植于这场金融危机的考察

发布时间：2018-02-15 19:29

本文关键词： 风险模型监管 “外包” 设计缺陷实施缺陷完善　出处：《国际金融研究》2010年07期 　论文类型：期刊论文

【摘要】：在过去数十年里,数量金融革命产生的模型在为金融机构提供衡量和控制风险工具的同时,也使许多国家的监管者将防控金融风险之重任托付给金融机构的模型,新巴塞尔协议还将规制资本的确定以标准法和内部模型法实行"外包"。这场金融危机宣告了这些风险模型的失败。究其原因,这些模型存在着设计缺陷和实施缺陷。风险模型失败的重要原因是作为模型基础的假设存在缺陷,风险模型在进行预测时做出了不切合实际的假设。此外,人们在实施这些模型时也存在误差,如输入风险模型的信息有误等。故对风险模型做出的预测宜作为风险管理的参考,而不宜作为圭臬,金融监管机关更不宜以此推脱监管责任。
[Abstract]:In the past few decades, the number of financial revolution model in measure and risk control tools at the same time for financial institutions, but also make many national regulators will entrust the task of prevention and control of the financial risk to the financial institutions of the model, the new Basel agreement will also regulate the capital are given with standard method and the internal model method to implement the "outsourcing" the financial crisis announced these risk models failed. The reason, these models exist defects in design and implementation of defect. An important reason is the failure risk model as a model based risk model assumes the existence of defects, make unrealistic assumptions in the forecast. In addition, there are also errors in the implementation these models, such as the input model of risk information is incorrect. The prediction risk model of risk management should be taken as the reference, but not as a standard, the financial supervision machine It is not appropriate to push off the regulatory responsibility.

【作者单位】：中南财经政法大学法学院;广东发展银行郑州分行;
【基金】：韩龙教授主持的2008年国家社会科学基金重点项目:防范和化解国际金融风险和危机的制度建构研究(批准号:08AJY013) 中华人民共和国司法部2007年国家法治和法学理论研究项目:金融风险防范法律制度研究——以我国金融业对外开放为重心(批准号:07SFB2046)的阶段性研究成果
【分类号】：F830

【相似文献】