基于VaR方法对我国金融风险预警的实证研究
发布时间：2019-06-19 02:02
【摘要】：金融业在国家经济系统中处于核心位置，，同时金融业聚集了经济运行中的大部分风险。如果对于金融风险不加以控制、任其发展，在其积累到一定水平时就会演变成金融危机。近几十年来，世界各国频繁爆发的金融危机，给危机爆发国甚至全球经济都带来了沉重的打击，人们也深刻体会到了金融危机的危害性。 本文首先对金融风险预警理论的发展历史进行了简单的回顾，对国内外学者的研究成果进行了简单的总结。其次，对金融风险、金融危机及金融预警的相关概念进行了定义，并以金融脆弱性为出发点对建立金融风险预警系统的合理性进行了理论阐述并对国内外现有的金融风险预警模型进行了论述和评论。在预警指标选取方面，本文选取了代表我国宏观金融风险的12个指标，并且根据我国金融市场的特点选取了单纯代表金融市场的15个纯金融指标。在实证部分，本文选择利用VaR方法构建金融风险预警信号灯系统，以此来显示我国金融风险状况，在VaR值的计算上选择了GARCH模型。最后，根据实证得出的结论，本文对建立我国金融风险预警系统提出了几点建议。 回顾全球范围内发生的金融危机，基本上都具有一定的突发性，这种特点使得危机发生国无法及时的采取防范措施，最终导致危机扩大化。金融风险预警可以对风险进行预测、控制，进而将发生危机的可能性降到最低点。因此，金融风险预警对于保障国家经济稳定、健康发展具有重要的意义。
[Abstract]:The financial industry is at the core of the national economic system, and the financial industry aggregates most of the risks in the economic operation. If the financial risk is not controlled and its development is allowed, it will become a financial crisis when it accumulates to a certain level. In recent decades, the frequent financial crisis in the world has brought a heavy blow to the crisis countries and even the global economy, and people have also deeply realized the harmfulness of the financial crisis. In this paper, the development history of financial risk early warning theory is briefly reviewed, and the research results of scholars at home and abroad are briefly summarized. Secondly, the related concepts of financial risk, financial crisis and financial early warning are defined, and the rationality of establishing financial risk early warning system is theoretically expounded based on financial vulnerability, and the existing financial risk early warning models at home and abroad are discussed and commented. In the aspect of early warning index selection, this paper selects 12 indexes that represent the macro financial risk of our country, and selects 15 pure financial indexes which simply represent the financial market according to the characteristics of our financial market. In the empirical part, this paper chooses the VaR method to construct the financial risk early warning signal lamp system to show the financial risk situation in our country, and selects the GARCH model to calculate the VaR value. Finally, according to the empirical conclusions, this paper puts forward some suggestions for the establishment of financial risk early warning system in China. Looking back on the global financial crisis, basically have a certain sudden, this characteristic makes the crisis countries can not take timely preventive measures, and ultimately lead to the expansion of the crisis. Financial risk early warning can predict and control the risk, and then reduce the possibility of crisis to the lowest point. Therefore, financial risk early warning is of great significance to ensure the stability and healthy development of the national economy.
【学位授予单位】：山东财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F224;F832
本文编号：2501981
[Abstract]:The financial industry is at the core of the national economic system, and the financial industry aggregates most of the risks in the economic operation. If the financial risk is not controlled and its development is allowed, it will become a financial crisis when it accumulates to a certain level. In recent decades, the frequent financial crisis in the world has brought a heavy blow to the crisis countries and even the global economy, and people have also deeply realized the harmfulness of the financial crisis. In this paper, the development history of financial risk early warning theory is briefly reviewed, and the research results of scholars at home and abroad are briefly summarized. Secondly, the related concepts of financial risk, financial crisis and financial early warning are defined, and the rationality of establishing financial risk early warning system is theoretically expounded based on financial vulnerability, and the existing financial risk early warning models at home and abroad are discussed and commented. In the aspect of early warning index selection, this paper selects 12 indexes that represent the macro financial risk of our country, and selects 15 pure financial indexes which simply represent the financial market according to the characteristics of our financial market. In the empirical part, this paper chooses the VaR method to construct the financial risk early warning signal lamp system to show the financial risk situation in our country, and selects the GARCH model to calculate the VaR value. Finally, according to the empirical conclusions, this paper puts forward some suggestions for the establishment of financial risk early warning system in China. Looking back on the global financial crisis, basically have a certain sudden, this characteristic makes the crisis countries can not take timely preventive measures, and ultimately lead to the expansion of the crisis. Financial risk early warning can predict and control the risk, and then reduce the possibility of crisis to the lowest point. Therefore, financial risk early warning is of great significance to ensure the stability and healthy development of the national economy.
【学位授予单位】：山东财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F224;F832
【引证文献】
相关硕士学位论文 前1条
1 郭栋;基于动态Logit模型的中国系统性金融危机预警研究[D];吉林大学;2013年
本文编号：2501981
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