基于GARCH-CoVaR法的我国商业银行系统性风险测度研究

发布时间：2018-04-19 09:56

本文选题：宏观审慎监管 + 商业银行　；参考：《湖南大学》2014年硕士论文

【摘要】：银行是经营风险的企业，风险管理是银行业一个永恒的话题。美国金融危机给我们的一个教训就是要用系统的观点来审视整个金融体系的稳定性，要建立更加宏观审慎的监管体系。而宏观审慎监管的对象主要是系统性风险，实现系统性风险的准确度量是进行宏观审慎监管的前提。虽然我国尚未发生过银行系统性危机，但在利率市场化逐步推进的当前，面对外资银行的全面竞争，我国银行系统性风险不容忽视。银监会前主席刘明康曾警示目前我国银行系统性风险正在逐步累积，这就亟需学者们展开对我国银行系统性风险的研究。控制系统性风险的首要任务是要实现对系统性风险的准确度量。本文在梳理前人研究成果的基础上，首先对银行系统性风险从定义、特点、成因理论及传染渠道这四个方面进行了较为详尽的基础理论分析。然后通过比较目前测度银行系统性风险方法，结合我国银行体系的实际情况和数据可得性，，将我国16家上市商业银行股票收益率作为研究对象，通过GARCH-CoVaR模型，测度我国商业银行系统性风险大小。测度结果表明：股份制商业银行的无风险价值要普遍高于大型商业银行的无风险价值；而大型商业银行的条件风险价值却普遍高于股份制商业银行的条件风险价值；大型商业银行中的中国银行、建设银行及工商银行具有较大的系统性风险贡献度，而股份制商业银行中的平安银行、浦发银行也具有较大的系统性风险贡献度。接着对我国银行系统性风险特有影响因素进行了具体的分析。本文的最后提出了防范银行系统性风险的相关政策建议。
[Abstract]:The bank is the enterprise which manages the risk, the risk management is an eternal topic of the banking industry.One of the lessons of the U.S. financial crisis is to look at the stability of the entire financial system from a systemic perspective and to establish a more macroprudential regulatory system.The object of macro-prudential supervision is mainly systemic risk, and the accuracy of realizing systemic risk is the premise of macro-prudential supervision.Although the banking system crisis has not occurred in our country, the systemic risk of Chinese banks can not be ignored in the face of the comprehensive competition of foreign banks at present when the interest rate marketization is advancing step by step.Liu Mingkang, former chairman of the Banking Regulatory Commission, has warned that the systemic risk of Chinese banks is gradually accumulating, which is in urgent need of scholars to carry out research on the systemic risk of banks in China.The primary task of controlling systemic risk is to achieve the accuracy of systematic risk.Based on the previous research results, this paper firstly makes a detailed theoretical analysis of bank systemic risk from four aspects: definition, characteristics, cause theory and contagion channel.Then, by comparing the current methods of measuring bank systemic risk, combining the actual situation and data availability of China's banking system, taking the stock return rate of 16 listed commercial banks in our country as the research object, through the GARCH-CoVaR model,Measure the systemic risk of commercial banks in China.The results show that the risk-free value of joint-stock commercial banks is generally higher than that of large commercial banks, while the conditional risk value of large commercial banks is generally higher than that of joint-stock commercial banks.The Bank of China, the Construction Bank and the Industrial and Commercial Bank of China among the large commercial banks have great systematic risk contribution, while Ping an Bank and Pudong Development Bank in the joint-stock commercial banks also have a large systemic risk contribution.Then the specific factors affecting the systemic risk of Chinese banks are analyzed in detail.At the end of this paper, the author puts forward some policy suggestions on how to prevent the systemic risk of banks.
【学位授予单位】：湖南大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F224;F832.33

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