中国系统重要性银行附加资本计提机制研究基于Copula-CoVaR模型

发布时间：2018-04-30 10:25

本文选题：Copula-CoVaR模型 + 风险溢出　；参考：《财经理论与实践》2015年03期

【摘要】：在CoVaR风险度量框架的基础上建立系统重要性银行附加资本计提机制,旨在将风险溢出与资本计提挂钩。运用Copula-CoVaR模型测算商业银行对银行体系的风险溢出效应,考虑到额外的资本对溢出风险吸收作用,在控制每一家银行对银行系统的风险溢出一致的基础上确定银行的资本充足水平,进而确定对应的系统重要性银行附加资本的计提比例。
[Abstract]:On the basis of CoVaR risk measurement framework, a systemically important bank additional capital accounting mechanism is established to link risk spillover with capital accounting. The Copula-CoVaR model is used to measure the risk spillover effect of commercial banks on the banking system, considering the role of additional capital to absorb the spillover risk. On the basis of controlling the risk spillover of each bank to the banking system, the capital adequacy level of the bank is determined, and the proportion of the additional capital of the corresponding systemically important bank is determined.
【作者单位】：湖南大学金融与统计学院;美国佛罗里达国际大学商学院金融系;
【基金】：国家自然科学基金项目(71373071)
【分类号】：F832.3;F224

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