我国上市金融机构系统性风险分析

发布时间：2018-01-10 06:13

本文关键词：我国上市金融机构系统性风险分析　出处：《河北大学》2017年硕士论文　论文类型：学位论文

更多相关文章： 上市金融机构 系统性风险 MES SRISK

【摘要】：由2007年始于美国的次贷危机,并最后蔓延至全国的金融危机对全球金融机构带来了沉重打击。由于经济全球化的发展,各国经济联系日益密切,因此对金融机构系统性风险测度和其之间风险的传染性研究则显得意义重大。本文基于边际期望损失MES及其引申出的系统性风险指数SRISK两种方法,对我国2008年以前上市的26家上市金融机构,其中包括14家商业银行、6家证券公司、3家保险公司、3家信托公司进行系统性风险测度。通过运用MES和SRISK模型,对每个序列单独进行估计,测算出我国上市金融机构系统性风险贡献排名及各个上市金融机构的资金缺口排名。实证结果表明:在金融危机期间各金融机构系统性风险明显高于金融危机后,与实际相符;抗风险能力是影响边际风险贡献MES的重要因素,抗风险能力越强,边际风险贡献越小;而系统性风险指数SRISK与金融机构规模成正比,其规模越大,系统性风险指数越高。由此可见,SRISK的排名更与实际直觉相符,但这并不能说明MES测度不准确,因为MES主要侧重金融机构的边际风险贡献,SRISK侧重金融机构整个系统性风险贡献度。根据测度结果得到启示:应建立科学合理的系统性风险预警体系;加强对系统重要性金融机构的监管;强化问题金融机构退出机制等。
[Abstract]:The subprime mortgage crisis that began in the United States in 2007 and finally spread to the whole country has brought a heavy blow to the global financial institutions. As a result of the development of economic globalization, the economic relations of various countries are becoming closer and closer. Therefore, it is of great significance to measure the systemic risk of financial institutions and to study the contagion between them. Based on the marginal expectation loss (MES) and its derived SRISK, this paper presents two methods. For the 26 listed financial institutions listed before 2008, including 14 commercial banks and 6 securities companies, there are 3 insurance companies. Three trust companies measure the systemic risk. Each sequence is estimated separately by using MES and SRISK models. The systematic risk contribution ranking of listed financial institutions in China and the financing gap ranking of each listed financial institution are calculated. The empirical results show that:. The systemic risk of financial institutions during the financial crisis is obviously higher than that after the financial crisis. Consistent with reality; The ability to resist risk is an important factor affecting the contribution of marginal risk to MES. The stronger the ability of resisting risk is, the smaller the contribution of marginal risk is. The systemic risk index (SRISK) is proportional to the size of financial institutions, and the larger the scale, the higher the systemic risk index. However, this does not mean that the MES measure is inaccurate, because MES mainly focuses on the marginal risk contribution of financial institutions. SRISK focuses on the contribution of financial institutions to the whole systemic risk. According to the measured results, it is revealed that a scientific and reasonable early warning system of systemic risk should be established; Strengthening the regulation of systemically important financial institutions; Strengthen the exit mechanism of problem financial institutions and so on.
【学位授予单位】：河北大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832

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