中国金融机构系统重要性的度量
发布时间：2018-08-13 16:22
【摘要】：文章基于系统性风险指数SRISK方法,结合我国金融机构的实际上市情况,利用DCC-GARCH模型,分别推导了A股、H股的长期资本短缺公式,并计算SRISK实际数值。然后以上市银行、保险、证券等金融机构等的交易数据为样本,确定了金融机构系统重要性的排名,并将其与基于同一分析框架的MES分析法进行对比分析。结果发现,度量我国金融机构的系统重要性,需要在MES分析的基础上,结合动态相关性和波动性,根据SRISK模型法评估排名。我国金融机构的系统重要性层次分明,保证了监管机构宏观审慎的有效性。
[Abstract]:Based on the systematic risk index (SRISK) method and the actual listing situation of Chinese financial institutions, this paper deduces the formula of long-term capital shortage of A-share and H-share by using DCC-GARCH model, and calculates the actual value of SRISK. Then taking the transaction data of listed banks, insurance, securities and other financial institutions as samples, the ranking of systematical importance of financial institutions is determined and compared with the MES analysis method based on the same analytical framework. The results show that to measure the systemic importance of financial institutions in China, we need to evaluate the ranking according to the SRISK model method based on the MES analysis, combined with dynamic correlation and volatility. The systematic importance of financial institutions in China is clear, which ensures the effectiveness of macroprudential supervision.
【作者单位】： 南京师范大学商学院;
【基金】：国家社会科学基金青年项目(12CJY108)
【分类号】：F832.3
，
本文编号：2181530
[Abstract]:Based on the systematic risk index (SRISK) method and the actual listing situation of Chinese financial institutions, this paper deduces the formula of long-term capital shortage of A-share and H-share by using DCC-GARCH model, and calculates the actual value of SRISK. Then taking the transaction data of listed banks, insurance, securities and other financial institutions as samples, the ranking of systematical importance of financial institutions is determined and compared with the MES analysis method based on the same analytical framework. The results show that to measure the systemic importance of financial institutions in China, we need to evaluate the ranking according to the SRISK model method based on the MES analysis, combined with dynamic correlation and volatility. The systematic importance of financial institutions in China is clear, which ensures the effectiveness of macroprudential supervision.
【作者单位】： 南京师范大学商学院;
【基金】：国家社会科学基金青年项目(12CJY108)
【分类号】：F832.3
，
本文编号：2181530
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