我国上市银行系统性风险分析

发布时间：2018-05-04 08:50

本文选题：系统性风险 + 股票收益　；参考：《东北财经大学》2012年硕士论文

【摘要】：起始于2006年的几乎席卷主要金融市场的美国“次贷危机”,给一直注重银行收益的人们敲响了警钟。银行相继破产倒闭,“多米诺骨牌”效应使人们更加关注于银行系统性风险。对于银行系统性风险的形成与影响,在国内外都有待于深入研究。银行业的系统性风险必然会对整体金融体系的健康运行起到关键性影响,特别是金融市场并不发达的发展中国家。其实,银行系统性风险从银行业发展初始阶段就存在,只是本次“次贷危机”把商业银行系统性风险暴露出来,成为了人们关注的焦点。本次危机也警示我们在危机全面爆发之前,应该利用各种手段或者经济指标来预测风险走势,借鉴国际的管理、控制经验,结合我国银行具体情况,对我国商业银行系统性风险进行系统、深入的研究。本文首先介绍了银行系统性风险的概念和理论成因,简要回顾了两个具有代表性的金融市场上出现的银行系统性风险事件；其次,采取1963年夏普提出的市场模型,通过对金融危机爆发前后股票市场银行的收益率与市场收益率相关性,β系数变化,来观察银行系统性风险在危机前后的高低变化；最后,分析我国银行用于测量系统性风险的β值呈现此次变化的个性原因,并给出相关政策建议。
[Abstract]:The subprime mortgage crisis, which began in 2006, almost engulfed major financial markets, sounded the alarm for people who have been paying attention to bank returns. With the failure of banks, the domino effect makes people pay more attention to the systemic risk of banks. The formation and influence of bank systemic risk need to be deeply studied at home and abroad. The systemic risk of banking is bound to play a key role in the healthy operation of the overall financial system, especially in developing countries with underdeveloped financial markets. In fact, the bank systemic risk exists from the initial stage of the banking development, but this "subprime mortgage crisis" exposes the commercial bank systemic risk and becomes the focus of people's attention. The crisis also warned us that before the crisis broke out, we should use various means or economic indicators to predict the trend of risk, draw lessons from international management and control experience, and combine the specific situation of our banks. The systemic risk of commercial banks in China is studied systematically and deeply. This paper first introduces the concept and theoretical causes of bank systemic risk, briefly reviews the two representative events of banking systemic risk in the financial market, secondly, adopts the market model put forward by Sharp in 1963. To observe the changes of bank systemic risk before and after the financial crisis through the correlation between the stock market bank's return rate and the market rate of return, and the change of 尾 coefficient. Finally, the change of the bank's systemic risk before and after the crisis is analyzed. This paper analyzes the personality reasons of the change of 尾 value used by Chinese banks to measure systemic risk, and gives some relevant policy suggestions.
【学位授予单位】：东北财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.33

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