业务关联视角下的影子银行交叉传染风险——基于TGC模型的度量

发布时间：2018-03-10 00:14

本文选题：影子银行　切入点：业务关联　出处：《经济问题》2017年12期 　论文类型：期刊论文

【摘要】：影子银行业务关联复合使得其内部风险交叉传染,并诱发系统性金融风险,进而危及金融安全。在业务关联的视角下,通过对未贴现银行承兑汇票、小额贷款公司信贷业务、委托贷款与信托贷款等主要影子银行业务交叉运行机制的分析,构建t-Garch-Copula模型对影子银行业务的交叉传染风险进行度量。研究发现,影子银行交叉传染风险的形成源于资金交叉复合导致的信用错配、期限错配与流动性错配;尽管影子银行交叉传染风险总体上可控,但四类主要的影子银行业务均呈现正向的违约相依性;四类影子银行业务间发生风险交叉传染的概率值存在显著差异,交叉风险损失的程度不一。为此,参与者需要基于对影子银行交叉传染风险的考量追求收益,而监管者则应审慎把握监管力度,在防控影子银行交叉传染风险的同时使其活跃金融要素的功能得到充分发挥。
[Abstract]:The shadow banking business association compound causes its internal risk cross infection, and induces the systemic financial risk, thus endangers the financial safety. In the view of the business association, by accepting the bill of exchange to the undiscounted bank, the credit business of the small loan company, Based on the analysis of the operation mechanism of principal shadow banking business such as entrusted loan and trust loan, t-Garch-Copula model is constructed to measure the cross-contagion risk of shadow banking business. The formation of cross contagion risk in shadow banks stems from the credit mismatch, term mismatch and liquidity mismatch caused by the combination of funds, although the risk of cross contagion in shadow banks is generally controllable. However, the four main types of shadow banking business all show positive default dependence, and the probability of risk cross-contagion among the four types of shadow banking business is significantly different, and the degree of cross-risk loss is different. Participants need to seek benefits based on the consideration of the risk of cross-contagion of shadow banks, while regulators should carefully grasp the supervision and control the risk of cross-contagion in shadow banks, so that the function of its active financial elements can be brought into full play while preventing and controlling the risk of cross-contagion in shadow banks.
【作者单位】：南京大学经济学院;
【基金】：国家社会科学基金项目“‘影子银行’交叉传染风险度量及控制机制研究”(14BGL031) 中国特色社会主义经济建设协同创新中心资助项目
【分类号】：F224;F832.3

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