我国上市银行的系统性风险测度研究

发布时间：2018-03-01 10:24

本文关键词： 上市银行系统性风险边际效应　出处：《湖南大学》2012年硕士论文　论文类型：学位论文

【摘要】：金融危机给我们的教训之一便是加强对系统性风险的监管，而如何测度系统性风险成为系统性风险监管的关键。本文在系统性风险e值法的基础上，对我国上市银行的系统性风险进行了测度研究。本文首先在前人研究的成果基础上，对银行系统性风险的相关理论进行了梳理，深入分析系统性风险形成机理，对系统性风险的概念进行了界定，总结了系统性风险不同于一般风险的特征，如：负外部性、传染性、风险与收益不对称性等。然后，详细阐述了测度系统性风险的三类方法：指标预警法、网络分析法、基于市场数据的模型法，分析了各种模型的优缺点，在此基础上选择了模型法中的系统性风险0(systemic risk beta)模型，之所以选择模型法，是由于模型法采用公开可得市场数据，使结果更具前瞻性；也可以跟踪一家机构出现问题时对其他机构的影响；还可以测度单个机构对整个金融体系的系统性风险的贡献。系统性风险e法的优势在于简单易懂，技术要求不高，能被简单地运用，易于推广，最重要的是，该方法对数据的要求不是很高，所需数据都是市场公开的，这特别适合像中国这样的金融市场尚未成熟的发展中国家。另外，该方法还能够进一步拓展，使其适用性很好。然后本文利用该方法对我国13家上市银行（中国农业银行、深圳发展银行、光大银行除外）的系统性风险贡献度进行了实证分析，，得到国有银行的系统性风险直更大，即边际效应更大，在银行系统中更重要；系统性风险的防范，既要关注那些系统性风险0值大的银行，也要关注个体VaR可能出现剧烈波动的中小银行等重要结论，通过该方法还能绘制出每家银行对系统性风险贡献度的系统性风险曲线图。最后，本文在借鉴欧美发达国家监管经验与教训及本文的实证研究基础上，提出了几点防范和监管银行系统性风险的政策建议，如宏观审慎监管与微观审慎监管相结合；基于单个银行的系统性风险贡献度实施差异化监管；完善信息披露制度等。
[Abstract]:One of the lessons of the financial crisis is to strengthen the regulation of systemic risk, and how to measure the systemic risk becomes the key to the regulation of systemic risk. This paper studies the systematic risk of listed banks in China. First of all, based on the results of previous studies, this paper combs the relevant theories of bank systemic risk, deeply analyzes the formation mechanism of systemic risk, and defines the concept of systemic risk. This paper summarizes the characteristics of systemic risk different from general risk, such as negative externality, infectivity, asymmetry of risk and income, etc. Then, three kinds of methods to measure systemic risk are elaborated in detail: index early warning method, network analysis method, etc. Based on the model method of market data, the advantages and disadvantages of various models are analyzed. On this basis, the systemic risk risk beta model of the model method is selected. The reason for choosing the model method is that the open available market data is adopted in the model method. To make the results more forward-looking; to track the impact of one institution's problems on others; and to measure the contribution of individual institutions to systemic risk across the financial system. Technical requirements are not high, can be used simply, easy to promote, most importantly, the method is not very high demand for data, the required data is open to the market, This is especially suitable for developing countries with immature financial markets such as China. In addition, the method can be further expanded to make it applicable. Then, this paper uses this method to 13 listed banks in China (Agricultural Bank of China, Agricultural Bank of China). The contribution of systemic risk to Shenzhen Development Bank (Shenzhen Development Bank, except Everbright Bank) has been empirically analyzed, and it has been found that the systemic risk of state-owned banks is directly greater, that is, the marginal effect is greater, and it is more important in the banking system; the prevention of systemic risk, We should not only pay attention to the banks with a large systemic risk of 0, but also pay attention to the important conclusions such as small and medium-sized banks whose individual VaR may fluctuate sharply. Through this method, we can also draw the systemic risk graph of each bank's contribution to systemic risk. Finally, this paper draws lessons from European and American developed countries' regulatory experience and empirical research. Some suggestions are put forward to prevent and supervise the systemic risk of banks, such as the combination of macro-prudential supervision and micro-prudential supervision, the implementation of differentiated supervision based on the contribution of individual banks to systemic risk, and the improvement of information disclosure system.
【学位授予单位】：湖南大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.33

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