我国保险业系统性风险研究

发布时间：2018-10-15 12:43

【摘要】：金融危机的爆发给实体经济和金融市场造成了强烈冲击,各国都意识到了对系统性风险监管的必要性。随着我国保险业不断繁荣发展,在资本市场当中的地位越来越重要,因此对于保险业系统性风险的度量及防范具有重要意义。本文从金融脆弱性理论和信息不对称理论的事实出发,多维度探讨新常态下我国保险业系统性风险的成因、特征、度量和防范等问题。保险业系统性风险不断积累的主要原因是系统重要性保险机构的风险溢出效应和经济波动的顺周期性。针对以上两个原因,本文基于宏观审慎监管理论,分别从横截面维度和时间维度对保险业系统性风险进行理论分析和实证分析。在横截面维度,利用修正后的CoVaR模型对系统重要性保险机构风险溢出进行度量,通过实证研究得到中国平安的风险贡献度较大,需要采用宏观审慎监管对系统重要性保险机构进行重点监管,以防范保险业系统性风险。在时间维度,对经济波动的顺周期性与保险业的顺周期性之间的关系进行分析,利用保险公司保费收入和计提的准备金数量等影响因素与国内生产总值进行相关性分析,得到作为金融市场三驾马车之一的保险行业具有很强的顺周期性,所以应防范顺周期性带来的系统性风险。为防范我国保险业的系统性风险,基于宏观审慎监管,在横截面维度方面加强对系统重要性保险机构的监管,在时间维度方面建立逆周期政策工具,同时加强对系统性风险的预警和提示,并且还要注意宏观审慎监管与其他经济政策的协调。
[Abstract]:The outbreak of the financial crisis has caused a strong impact on the real economy and financial markets, and countries are aware of the need to regulate systemic risk. With the development of the insurance industry in our country, the position in the capital market is becoming more and more important, so it is of great significance to measure and prevent the systemic risk of the insurance industry. Based on the facts of financial vulnerability theory and information asymmetry theory, this paper discusses the causes, characteristics, measurement and prevention of the systemic risk of insurance industry in China under the new normal. The main reasons for the accumulation of systemic risks in insurance industry are the risk spillover effects of systemically important insurance institutions and the procyclicality of economic fluctuations. In view of the above two reasons, based on the macro-prudential supervision theory, this paper makes theoretical analysis and empirical analysis on the systemic risk of insurance industry from the cross-sectional dimension and the time dimension respectively. In the cross section dimension, using the modified CoVaR model to measure the risk spillover of systemically important insurance institutions, through the empirical study, we get the greater risk contribution of China Ping an. Macroprudential supervision is needed to supervise systemically important insurance institutions in order to prevent systemic risks in insurance industry. In the time dimension, this paper analyzes the relationship between the procyclicality of economic fluctuations and the procyclicality of the insurance industry, and analyzes the correlation between the insurance companies' premium income and the amount of reserves provided by the insurance companies and the GDP. As one of the troika of financial market, insurance industry has strong procyclicality, so we should guard against systemic risk brought by procyclicality. In order to prevent the systemic risks of the insurance industry in China, based on macro-prudential supervision, we should strengthen the supervision of systemically important insurance institutions in the cross-sectional dimension, and establish countercyclical policy tools in the time dimension. At the same time, strengthen the warning and warning of systemic risk, and pay attention to the coordination of macro-prudential regulation and other economic policies.
【学位授予单位】：吉林财经大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F842

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