基于银行风险传染效应的宏观压力测试研究

发布时间：2018-07-10 05:34

本文选题：压力测试 + 风险传染效应　；参考：《湖南大学》2012年硕士论文

【摘要】：金融危机后宏观压力测试方法的研究得到了学术界的重视，但大多数关于宏观压力测试的研究都没有考虑银行间的风险传染效应，仅仅是考虑实体经济变化带给银行体系整体的冲击，并没有分析这些冲击在银行体系内部扩散蔓延可能会致使银行体系面临更大的风险。为了准确监测和防范银行体系面临的潜在系统性风险，有必要在宏观压力测试的研究中考虑银行风险传染效应。为此，本文提出了一个基于风险传染效应的宏观压力测试模型，并从金融业审慎管理的视角开展宏观压力测试的研究。本文分两步建立基于银行风险传染效应的宏观压力测试模型。第一步构造宏观压力测试模型。先通过实证分析确定了四个宏观冲击变量，分别为国内生产总值增长率、消费者物价指数、国房景气指数、企业家信心指数，，然后通过HP滤波对选定的风险指示器进行了处理，最终通过处理后的风险指示器和宏观经济变量之间的相关性构建宏观压力测试模型。第二步构造风险传染模型，首先依据信息熵最优化原理估测银行间双边风险头寸矩阵，然后通过矩阵法模型刻画银行在同业拆借市场上的借贷关系，并以此评估宏观经济冲击在银行体系内部的风险传染效应。本文采用我国16家上市银行的数据开展基于银行风险传染效应的宏观压力测试实证研究。得出结论：在同等压力情景下，没有考虑银行间风险传染效应的压力测试结果比考虑了银行间风险传染效应的压力测试结果进行比较，前者的经营困难的银行家数平均少2-3家，即潜在的风险被缩小，因此考虑风险传染效应的银行压力测试能够更加客观地衡量在极端风险情况下银行体系面临的真实风险。在前面的理论分析和基于银行间风险传染效应的宏观压力测试方法研究的基础上，提出了我国银行业防范系统性风险的对策，并有针对性地提出了宏观压力测试在宏观审慎管理框架下运用的若干建议。
[Abstract]:After the financial crisis, the research of macro stress testing methods has been paid attention to by the academic community, but most of the studies on macro stress testing do not take into account the risk contagion effect between banks. Only considering the impact of real economic changes on the banking system as a whole, it does not analyze that the spread of these shocks within the banking system may lead to greater risks to the banking system. In order to accurately monitor and prevent the potential systemic risks faced by the banking system, it is necessary to consider the risk contagion effect in the study of macro stress testing. In this paper, a macro stress test model based on risk contagion effect is proposed, and the study of macro stress test is carried out from the perspective of prudent management of financial industry. In this paper, a macro stress test model based on the risk contagion effect of banks is established in two steps. The first step is to construct a macro pressure test model. Firstly, four macro impact variables are determined by empirical analysis, which are GDP growth rate, consumer price index, national housing boom index, entrepreneur confidence index, and then the selected risk indicator is processed by HP filter. Finally, the macro-stress test model is constructed by the correlation between the risk indicator and macroeconomic variables. The second step is to construct a risk contagion model, which firstly estimates the risk position matrix between banks according to the optimization principle of information entropy, and then describes the lending relationship of banks in the interbank lending market through the matrix model. The risk contagion effect of macroeconomic shocks in the banking system is evaluated. Based on the data of 16 listed banks in China, this paper conducts an empirical study on macro stress testing based on the risk contagion effect of banks. It is concluded that under the same stress situation, the results of stress test without considering the effect of interbank risk contagion are compared with those of interbank risk contagion effect. The average number of banks with difficulty in operation of the former is 2-3 fewer than that of the stress test which takes into account the effect of interbank risk contagion. That is, the potential risk is reduced, so the risk contagion effect of the bank stress test can more objectively measure the real risk faced by the banking system in extreme risk situations. On the basis of the previous theoretical analysis and the study of macro stress testing methods based on the contagion effect of inter-bank risk, this paper puts forward the countermeasures to prevent systemic risk in China's banking industry. Some suggestions on the application of macro-stress test under the framework of macro-prudential management are put forward.
【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】：F832.3;F224

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