基于CoVaR方法测度我国证券业系统性风险

发布时间：2018-05-19 18:43

本文选题：证券业 + 系统性风险　；参考：《厦门大学》2014年硕士论文

【摘要】：2007年美国次贷危机引发全球性的金融危机,系统性风险在世界范围内快速传播,各国的经济、金融发展受到了巨大的影响,各金融机构以及各国监管部门开始将系统性风险的预警和防范作为风险管理的一个重点。此次危机虽然已经接近尾声,但是关于系统性风险的测度和防范将成为金融业永恒的主题。本文通过回顾关于系统性风险度量方法的相关理论和实证研究,引出了本文研究所使用的CoVaR方法。通过详细介绍该方法的原理和实际操作,以我国11家上市证券公司为研究对象,对我国证券业的系统性风险进行实证分析。本文使用分位数回归方法求解VaR和CoVaR,计算我国证券业以及各证券公司的风险价值和各公司与行业之间的相互风险溢出效应,得到可以量化的风险值和风险溢出率。实证结果表明,使用VaR方法可能会低估证券公司以及证券业的风险水平,尤其是极端事件发生的时候；而CoVaR方法能够较为全面的捕捉各机构处于极端状况时对行业整体风险值的影响,以及行业处于极端状况时对各机构的风险值的影响,因此相对于传统风险度量方法而言,CoVaR是比较全面和有效的方法。实证结果还表明,各证券公司对证券业的风险溢出效应与其资产或者市值规模并没有必然的关系。自身风险水平较低的证券公司对行业的风险溢出效应较低,而行业对这些证券公司的风险溢出效应则较高。使用CoVaR方法可以度量各证券公司对行业的风险溢出效应大小以及各个证券公司受到行业风险爆发的影响大小,但是这并不能代表公司对行业收益水平的影响力,事实上,这二者之间并不冲突。文章最后针对实证分析的结论,对我国证券公司的风险防范和监管部门的监管提出政策建议。
[Abstract]:In 2007, the subprime mortgage crisis in the United States triggered a global financial crisis, systemic risk spread rapidly around the world, and the economic and financial development of various countries was greatly affected. Financial institutions and national regulators have begun to place systemic risk warning and prevention as a focus of risk management. Although the crisis has come to an end, the measurement and prevention of systemic risk will become the eternal theme of the financial industry. By reviewing the relevant theoretical and empirical research on systematic risk measurement, this paper leads to the CoVaR method used in this paper. By introducing the principle and practice of this method in detail, taking 11 listed securities companies in China as the research object, this paper makes an empirical analysis on the systemic risk of the securities industry in China. In this paper, the quantile regression method is used to solve VaR and CoVaR, and the risk value and mutual risk spillover effect between companies and industries are calculated, and the quantifiable risk value and risk spillover rate are obtained. The empirical results show that the VaR method may underestimate the risk level of securities firms and securities industry, especially when extreme events occur. The CoVaR method can comprehensively capture the impact of the institutions in extreme conditions on the overall risk value of the industry and the impact of the industry in the extreme situation on the risk value of each organization. Therefore, CoVaR is more comprehensive and effective than the traditional risk measurement method. The empirical results also show that the risk spillover effect of securities firms to the securities industry is not necessarily related to their assets or the scale of market value. The securities companies with lower risk level have lower risk spillover effect on the industry, while the risk spillover effect of the industry on these securities companies is higher. The CoVaR method can measure the risk spillover effect of each securities company to the industry and the impact of the industry risk explosion on each securities company, but this does not represent the influence of the company on the industry income level, in fact, the risk spillover effect of each securities company on the industry can be measured. There is no conflict between the two. Finally, based on the conclusion of empirical analysis, the paper puts forward some policy suggestions on the risk prevention and supervision of securities companies in China.
【学位授予单位】：厦门大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F224;F832.39

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