我国金融市场双向风险的动态测量与实证分析

发布时间：2018-01-04 16:28

本文关键词：我国金融市场双向风险的动态测量与实证分析　出处：《系统工程》2017年05期 　论文类型：期刊论文

【摘要】：分别构造动态测量我国外汇市场汇率风险、货币市场流动性风险和股票市场股指风险的压力指数,能够刻画人民币升值与贬值、流动性过剩与短缺、股指暴涨与暴跌的双向风险。在三个市场压力指数的基础上,应用改进的主成分分析法建立了动态测量整体金融市场系统性风险的综合压力指数,从而反映金融市场上行和下行的双向风险。进一步提出了基于滚动时间窗口的高中低三类风险程度的动态判定方法。使用1997年1月至2015年9月我国金融数据实际测量了各市场双向风险出现的类型与程度,并剖析了这一时期金融风险和危机发生的原因及背景事件。金融市场综合压力指数的测量结果表明,2015年9月我国整体金融市场处于下行的高风险,主要受人民币贬值和股指暴跌影响,但整体风险可控。
[Abstract]:The dynamic measurement of foreign exchange market exchange rate risk, currency market liquidity risk and stock market stock index risk pressure index can describe the appreciation and depreciation of RMB, excess liquidity and shortage. On the basis of three market pressure indices, a comprehensive pressure index for dynamic measurement of systemic risk in the whole financial market is established by using the improved principal component analysis method. In order to reflect the two-way risk of financial market, this paper further puts forward a dynamic method of judging the risk degree of high, middle and low based on rolling time window. From January 1997 to September 2015, we use our country. Financial data actually measure the type and extent of two-way risk in each market. The paper also analyzes the causes and background events of financial risk and crisis in this period. The measurement results of comprehensive pressure index of financial market show that in September 2015 the overall financial market of our country is at a high downside risk. Mainly by the depreciation of the renminbi and the impact of the stock index plummeting, but the overall risk controllable.
【作者单位】：华南理工大学工商管理学院;
【基金】：国家社科基金重大项目(11&ZD156) 广州市金融服务创新与风险管理研究基地项目
【分类号】：F832.51
【正文快照】： 1引言国际金融危机频发掀起了金融风险管理的研究热潮,而金融风险的量化研究是风险管理的基础和前提。在险价值VaR作为度量金融风险的一种经典方法,能够衡量在一定置信水平下金融资产在未来一段时间内的最大可能损失[1]。J.P.摩根公司推出用于计算VaR的风险控制模型后VaR被金

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