基于金融资产价格冲击的综合风险压力测试

发布时间：2018-06-12 20:02

本文选题：压力测试 + 资产价格冲击　；参考：《会计与经济研究》2014年01期

【摘要】：设计了一个整合流动性风险、信用风险和市场风险的宏观压力测试框架,分析金融资产价格冲击对银行体系的影响。应用蒙特卡罗方法模拟出各种金融资产价格冲击生成的市场风险路径,采用莫顿模型来分析银行的违约风险和市场风险的联系,同时也估计了违约风险和存款外流的关系,通过分析银行在银行间市场和资本市场的联系整合了传染性风险。在以上的理论分析框架下,用工行、建行、中国银行、农行和交行2008年的数据对我国银行体系进行了实证分析,其测试结果显示:银行体系的系统流动性风险很低,没有银行违约的概率是99.15%,说明整个银行体系是稳定的。实证分析的结果与2008年的实际情况相符,说明文章构建的压力测试理论框架是有效的。
[Abstract]:A macro stress test framework integrating liquidity risk, credit risk and market risk is designed to analyze the impact of financial asset price shock on the banking system. Monte Carlo method is used to simulate the path of market risk generated by various financial asset price shocks. Morton model is used to analyze the relationship between default risk and market risk, and the relationship between default risk and deposit outflow is also estimated. Contagion risk is integrated by analyzing the relationship between banks in interbank market and capital market. In the framework of the above theoretical analysis, using the data of ICBC, CCB, Bank of China, Agricultural Bank and Bank of Communications in 2008, the empirical analysis of China's banking system is carried out. The test results show that the system liquidity risk of the banking system is very low. The probability of no bank default is 99.15, indicating that the entire banking system is stable. The results of empirical analysis are consistent with the actual situation in 2008, which shows that the theoretical framework of stress testing is effective.
【作者单位】：上海立信会计学院金融学院;
【基金】：教育部人文社会科学研究项目(12YJC790245) 教育部特色专业建设项目上海市教委高水平特色发展资助项目(JRXY0903) 上海市教委创新项目(14YS138)
【分类号】：F830.91

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