基于系统重要性视角的商业银行风险传染效应研究

发布时间：2018-04-30 21:34

本文选题：风险传染效应 + 商业银行　；参考：《东华大学》2014年硕士论文

【摘要】：随着金融自由化程度的加深,金融服务业不断发展,银行间的联系日益紧密,银行对外部的风险事件以及其他银行的风险状况变得敏感,这增加了风险迅速传染扩散的可能性。近年来发生的金融危机就是从单间机构的倒闭蔓延成为整个金融体系的危机。我们不仅应该监测个体银行的风险指标,而且也应该关注整个银行体系的风险状况,在考虑发生危机后风险传染的情况下,评估整个体系的风险。巴塞尔银行监管委员会首次提出了系统重要性银行(SIBs)的概念,由于其负外部性,很有可能成为风险的传染源,加剧整个银行体系的不稳定性。本文从风险的传染源、传染渠道、传染效应几个方面研究我国商业银行的风险传染机制。首先从银行风险的特殊性入手,分析了风险传染的特征及其成因理论,在此基础上进一步分析风险的传染渠道并指出潜在的风险传染源是SIBs。接着,结合我国的实际情况分析银行业的风险状况,并利用银行近几年的数据,运用指标法评估出我国的SIBs,除了五大行是我国的SIBs,兴业银行、招商银行、浦发银行等股份制银行也有可能成为SIBs。然后利用资本市场上的数据,结合GARCH模型、VaR、Copula函数的方法,定量地测算在极端风险状况下SIBs和其他银行之间的联系,以此来测度银行间风险传染效应的大小,测度结果显示SIBs是风险传染源,南京银行、北京银行等中小银行容易受到风险传染。最后,为防范我国商业银行的风险传染从控制风险传染源以及阻断风险传染渠道两个方面来提出政策建议。本文创新地从系统重要性的角度研究银行风险传染效应,同时利用Copula函数进行定量分析,更好地认识到风险的传染机制,具有较强的理论及实际意义。
[Abstract]:With the deepening of financial liberalization, the development of financial services industry, the increasingly close relationship between banks, banks become sensitive to external risk events and other banks' risk situation, which increases the possibility of rapid contagion and spread of risk. The financial crisis in recent years has spread from the collapse of a single institution to a crisis throughout the financial system. We should not only monitor the risk indicators of individual banks, but also pay attention to the risk situation of the whole banking system, and evaluate the risk of the whole system in the event of post-crisis risk contagion. The Basel Committee on Banking Supervision put forward the concept of systemically important banks for the first time. Because of its negative externalities, it is likely to become a source of risk infection and aggravate the instability of the whole banking system. This paper studies the risk transmission mechanism of commercial banks in China from the aspects of the source of infection, the channel of infection and the effect of contagion. Firstly, the characteristics of risk contagion and its origin theory are analyzed from the particularity of bank risk. On this basis, the infectious channel of risk is further analyzed and the potential source of risk infection is SIBs. Then, according to the actual situation of our country, we analyze the risk situation of the banking industry, and use the data of the banks in recent years to evaluate the SIBsof our country by using the index method. In addition to the five big banks in our country, they are SIBs, Industrial Bank, China Merchants Bank. Shanghai Development Bank and other joint-stock banks are also likely to become SIBs. Then, using the data in the capital market and the method of GARCH model, the relationship between SIBs and other banks under extreme risk is measured quantitatively to measure the risk contagion effect between banks. The results show that SIBs is the source of risk infection, and small and medium-sized banks such as Nanjing Bank and Beijing Bank are vulnerable to risk infection. Finally, in order to prevent the risk contagion of commercial banks in China, the author puts forward some policy suggestions from two aspects: controlling the source of risk infection and blocking the channel of risk transmission. In this paper, the risk contagion effect of banks is studied from the angle of systematical importance, and the risk contagion mechanism is better recognized by using Copula function, which is of great theoretical and practical significance.
【学位授予单位】：东华大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.33

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