基于分位数回归方法的我国银行业系统性风险测度研究

发布时间：2018-01-02 20:43

本文关键词：基于分位数回归方法的我国银行业系统性风险测度研究　出处：《西南财经大学》2014年硕士论文　论文类型：学位论文

更多相关文章： 系统性风险 COVAR 分位数回归 VAR 银行

【摘要】：自从2008年由次贷危机引起的全球性金融危机以来,金融体系的系统性风险一直是国内外理论界和实业界研究的热点和重点。同时全球性金融危机世界各国的业界以及学术界开始反思之前的风险预测和监控机制,意识到仅仅依靠微观监管无法防范和化解系统性风险,不能只关注单个金融机构或单个行业的风险,必须着眼于整个金融体系的健康状况和稳定性,以防范系统性风险为目标,加强宏观审慎监管,从全局的角度去评估和防范金融体系的风险。因而在金融危机期间以及过后的后金融危机时期,人们的关注点开始由重视单个机构的风险控制转而严密关注整个金融体系的系统性风险,并且转向深入地研究探索有效的金融体系的系统性风险的有效预测,度量,防范等的管理方法。国际货币基金组织(IMF)开始对国际金融体系进行改革,其中对国际金融体系的改革的核心议题之一就是要大力提倡对整个金融体系施行宏观审慎监管的政策以加强系统层面的稳定性。我国“十二五计划”也明确指出要构建和健全系统性金融风险防范预警、评估体系和处置机制,可见作为金融风险领域最为重要的热点问题——系统性风险问题,必然是十二五重点的研究对象。银行作为重要资金融通的中介机构和金融体系的核心组成部门,中国银监会主席尚福林(2014)指出我国企业通过银行体系融资占整个融资额度的比重达超过了80%,中国银行业的资产规模占整个金融业的全部金融资产比重高达90%以上,即使在资本市场发达的美国,2012年美国非金融企业通过银行这种间接融资渠道融资占企业整个融资金额的比重也达到31.3%,而且银行是人们日常生活中、储蓄、借贷以及偿付等活动正常进行的重要支撑保障,即在货币、信用关系主宰市场经济的时代,除了少数例外的情形外,几乎全部的债权或货币财富所有权的转移都需要借助银行等信用机构的媒介作用,这意味着人们和企业日常经济活动得以正常进行保障支付结算体系就是以银行为中心来构建的。银行体系的稳定有效的运转,对其经济平稳较快地发展非常重要。因而银行系统性风险的必然也开始受到重视,后危机时期,对银行系统性风险的关注和研究也迅速的多了起来。众所周知,我国金融体系是银行主导型,因而如何防范银行系统性风险必然是我国金融体系风险的研究的重点,这对我国金融体系的稳健运营也有着十分重要的理论和现实意义,特别是对建立上海国际金融中心和人民币国际化有着重要的意义。而对银行系统性风险的防范的重点在于对银行系统性风险的有效且准确的测度。我国对于银行系统性风险的研究较之于国外起步相对较晚,关于我国构建适合我国银行业实际情况的系统性风险测度方法研究还处于初级阶段。在此背景下,本文基于我国14家上市银行的315周股票价格数据,试图运用分位数回归方法并结合新近提出COVAR理论对我国银行业系统性风险状况进行测度,并对我国各上市银行的系统重要性进行初步测算,以期探索我国银行业系统性风险的有效度量方法。本文的研究具体安排如下：第一章是绪论部分,主要是对本文的研究背景进行简要介绍,并阐述了本文的研究意义,同时简要梳理了国内外银行系统性风险的研究动态。并对本文的研究方法进行了简单阐述。第二章主要从定义、特征、危害、形成原因以及传染几个方面对银行系统性风险进行了概述,同时介绍了关于这几个方面的研究状况。第三章要是对本文所运用的分位数回归模型及理论进行了简单介绍,并对其在风险度量领域的运用相关文献进行梳理；同时对关于银行系统性风险测度方法相关文献基于宏观和微观角度进行了详细归类梳理。第四章介绍了本所收集的14家银行的股票价格数据,并基于此计算了其股票指数及收益率序列。同时构建了基于分位数回归方法和COVAR理论的本文度量银行系统性风险的具体模型。第五章是对我国银行业系统性风险状况进行实证分析,运用第四章所构建的模型对所算出来各家股票收益率序列分别于银行总体股票收益率序列做分位数回归,计算出个银行和银行总体之间的VAR. COVAR,并对各回归结果进行分析和试图对推算我国具有系统重要性的银行,结合研究结果本文认为工商银行,建设银行,中国银行和交通银行第一梯队的系统重要性银行,招商银行、中信银行及浦发银行三大著名的股份制商业银行为第二梯队的系统重要性银行,这与我国实际情况也基本相符合,并对我国银行业系统性风险的监管提出相关建议。第六章是阐述了本文研究的主要结论及不足。本文基于分位数回归方法并结合COVAR理论构建了测量我国银行业系统性风险的模型。分位数回归能够有效处理股票收益序列常见“尖峰厚尾”问题,同时COVAR理论是对VAR理论的改进的方法,它能够度量在银行与银行体系间的风险的溢出效应,研究结果也与我国银行业实际情况基本相符,因而这说明该模型是适用于度量我国银行业系统性风险的,因而本文的研究对于探索测度我国银行业系统性风险的方法是有一定意义的。
[Abstract]:Since the 2008 subprime mortgage crisis caused by the global financial crisis, systemic risk in the financial system has been the domestic and foreign economists. At the same time, the focus of the global financial crisis around the world industry and academia began to risk measurement and monitoring before the pre reflection mechanism, realize depending solely on the micro regulation cannot prevent and to resolve the systemic risk, not only concerned about the risk of individual financial institutions or individual industries, we must focus on the health of the financial system and stability, to prevent systemic risk as the goal, to strengthen macro prudential supervision, from the global perspective to assess and prevent the risk of the financial system. Therefore, during the financial crisis, after the after the financial crisis, controlled by the attention to the risk of individual institutions to pay close attention to the system of the entire financial system began to people's attention The risk and predict risk, steering system in-depth study to explore the effective measure of the financial system, management method and prevention. The International Monetary Fund (IMF) began to reform the international financial system, one of the reform of the international financial system is the core issue which is to vigorously promote the implementation of macro prudential supervision on the whole the financial system policy to strengthen the stability of the system level. China's "12th Five-Year plan" clearly pointed out that we must construct and perfect the system of financial risk pre-warning, evaluation system and disposal mechanism, financial risk is visible as the most important hot issues of systemic risk problems, must be the research object in 12th Five-Year focused on.
The bank as the core important finance intermediary institutions and the financial system composed of departments, China CBRC Chairman Shang Fulin (2014) pointed out that China's enterprises financing through the banking system for the entire amount of financing amounted to more than 80%, China banking assets accounted for the entire financial industry all the proportion of financial assets as high as 90%, developed even in the capital market of the United States, 2012 U.S. non financial enterprises through bank indirect financing channels of the financing proportion of the whole enterprise financing amount has reached 31.3%, and the bank savings in people's daily life, and an important support to ensure borrowing and reimbursement activities normally carried out, namely in the currency, credit relations dominate the market economy era, apart from a few exceptions, almost all of the debt or monetary wealth transfer of ownership to help banks and other credit institutions in the role of the media This means that the daily economic activities of people and enterprises are normal and the system of payment and settlement is built in the center of the bank.
The stability of the banking system and effective operation, is very important for the stable and rapid economic development. Therefore, the necessity of bank systemic risk is also beginning to receive attention, after the crisis, the bank systemic risk concerns and study more rapidly up. As everyone knows, China's financial system is bank oriented, so the emphasis how to prevent the systemic risk of banks is the inevitable research of China's financial system risk, also has a very important theoretical and practical significance to China's financial system steady operation, especially has an important significance for the establishment of the Shanghai international financial center and the internationalization of the RMB.
While the bank systemic risk prevention focus on systemic risk of banks effectively and accurately measure. China's banking systemic risk research compared with foreign countries started relatively late, about the systemic risk of the construction of China's banking industry of China's actual situation measurement research is still in the initial stage of this background. In this paper, 14 listed banks in China in the 315 week of stock price based on the data, attempts to use quantile regression method combined with the recently proposed COVAR theory to measure the risk of China's banking system, and preliminary estimates of China's listed banks of systemic importance, to explore the effective method for measuring bank of our country industry systemic risk. This research as follows:
The first chapter is the introduction. It mainly introduces the research background of this paper, and expounds the significance of this research. At the same time, it briefly reviews the research trends of systemic risk at home and abroad, and briefly describes the research methods in this paper.
The second chapter outlines the systemic risks of banks from the aspects of definition, characteristics, hazards, causes and contagion, and introduces the research status of these aspects.
If the third chapter to the article by Quantile Regression Model and theory were introduced, and carries on the analysis in the risk measurement field using the related literature; at the same time on bank systemic risk measurement literature based on the macro and micro angle in detail to classify.
The fourth chapter introduces the stock price data collected by 14 banks, and calculates the stock index and yield series based on this data. Meanwhile, a quantile regression method and COVAR theory are applied to measure the systemic risk of banks.
The fifth chapter is the empirical analysis of the risk situation of China's banking system, the fourth chapter uses the model to calculate the stock returns in overall bank stock returns for quantile regression, calculated between a bank and general VAR. COVAR, and the regression results are analyzed and try to have systemic importance of predicting China's banks, combined with the research results in this paper that the industrial and commercial bank, construction bank, bank system, the importance of the first echelon China bank and Bank of China Merchants Bank, CITIC Bank and Pudong Development Bank three famous joint-stock commercial banks as systemically important banks of the second echelon, this and our country the actual situation is basically consistent, and puts forward some suggestions on China's banking system risk supervision.
The sixth chapter is to explain the main conclusions and shortcomings of this study.
In this paper, the quantile regression method and combining the COVAR theory to construct the measurement of China's banking system risk model based on quantile regression can common quotfattail effectively deal with the problem of stock return series, and COVAR theory is that the improved method of VAR theory, it can measure the Risk Spillover Effect between banking and Banking system the results are also compared with the banking of our country actual circumstance, which shows that the model is applicable to measure the systematic risk of China's banking industry, so the research of this paper is to explore the method to measure China's banking system risk is significant.

【学位授予单位】：西南财经大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.33;F224

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