后金融危机背景下“影子银行”风险管理的实证研究

发布时间：2018-08-13 20:39

【摘要】：2007年美国爆发了金融危机，“影子银行”的概念被首次提出，并被认为是此次金融危机的罪魁祸首。20世纪70年代金融自由化的的浪潮，使得金融创新理论迅速发展，并推动了影子银行的产生与发展；到了90年代影子银行体系已初步形成，金融衍生品的种类和数量不断扩大，，影子银行体系迅速发展，同时也在一定程度上推动了美国经济的发展；21世纪，金融衍生产品结构复杂、数量激增，由于其高杠杆率、不透明性、流动性高等特点，且缺乏相关金融监管部门的监督，使得金融市场上影子银行暗藏了巨大的风险，增大了金融市场的系统性风险，导致2007年美国爆发了次贷危机，影子银行体系的崩溃无疑是此次危机的导火索。我国资产证券化发展时间比较短，金融市场相对国外发展较为缓慢，我国影子银行体系的发展时间不长，且与国外影子银行系统有些差异，但也不能忽视其带来的系统性风险。因此，准确度量影子银行的风险，如何采取有效的监管措施成为了目前迫切需要解决的问题。本文分为绪论、影子银行相关理论综述、影子银行风险度量实证研究、美国影子银行体系的经验借鉴及对我国的启示等主要部分。第一章绪论引出本文要研究的问题、选题背景和意义以及本文的创新、难点和不足，然后阐述了国内外一些主要研究文献综述；第二章简单介绍了影子银行体系的概念和发展，以及VaR模型相关理论；第三章通过结合历史数据运用历史模拟法以金融衍生品中的远期期货和货币基金余额宝为例，分别从投资者和市场的角度对影子银行体系的衍生产品利用VaR模型进行风险度量，进行了实证研究；第四章结合美国影子银行体系的结构和发展，通过对其分析结合我国国情，在第五章提出了符合我国国情的影子银行监管政策和建议，并得出结论，以减少影子银行给金融市场带来的风险，促进我国金融市场健康稳定的发展。
[Abstract]:The financial crisis broke out in the United States in 2007, and the concept of "shadow banking" was put forward for the first time, and it was regarded as the culprit of the financial crisis. The wave of financial liberalization in the 1970s made the theory of financial innovation develop rapidly. It has promoted the emergence and development of shadow banking. By the 1990s, the shadow banking system had been initially formed, the types and quantity of financial derivatives were continuously expanded, and the shadow banking system developed rapidly. At the same time, to some extent, it has also promoted the development of the US economy. In the 21st century, the structure of financial derivatives is complex and the number of financial derivatives has increased dramatically. Because of its characteristics of high leverage, opacity, high liquidity, and lack of supervision by relevant financial regulatory departments, The shadow banking system has hidden huge risks in the financial market, increased the systemic risk of the financial market, and led to the outbreak of the subprime mortgage crisis in the United States in 2007. The collapse of the shadow banking system is undoubtedly the trigger of the crisis. The development of asset securitization in China is relatively short, the financial market is relatively slow compared with foreign countries, the development of shadow banking system in China is not long, and there are some differences with foreign shadow banking system, but the systemic risks can not be ignored. Therefore, how to measure the risk of shadow banking with accuracy and how to take effective supervision measures have become an urgent problem to be solved. This paper is divided into the introduction, the shadow banking related theory summary, the shadow bank risk measurement empirical research, the American shadow banking system experience and the enlightenment to our country and so on main part. The first chapter introduces the problems to be studied, the background and significance of the topic, the innovation, difficulties and shortcomings of this paper, and then describes some of the main domestic and foreign research literature review; the second chapter briefly introduces the concept and development of shadow banking system. The third chapter takes forward futures and money fund Yu'e Bao in financial derivatives as an example by using historical simulation method with historical data. From the perspective of investors and markets, this paper makes an empirical study on the risk measurement of shadow banking system derivatives using VaR model. Chapter four combines the structure and development of the shadow banking system of the United States, through the analysis of the situation of our country. In the fifth chapter, the author puts forward the supervision policy and suggestion of shadow banking in accordance with the national conditions of our country, and draws a conclusion, in order to reduce the risks brought by shadow banking to the financial market and to promote the healthy and stable development of the financial market in our country.
【学位授予单位】：青岛理工大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F831.59;F832.39

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