基于马尔科夫链蒙特卡罗模拟的金融极值风险测度

发布时间：2018-01-02 10:11

本文关键词：基于马尔科夫链蒙特卡罗模拟的金融极值风险测度　出处：《武汉金融》2017年08期 　论文类型：期刊论文

【摘要】：2015年底,中央经济工作经济会议首次在金融领域提出了去杠杆的要求。2017年一行三会展开了对金融领域快速去杠杆的工作,影子银行与股票市场首当其冲。影子银行概念最早由美国华尔街基金经理提出,美国学术界很多观点认为次贷危机中美国影子银行与美国股市的极值风险都很显著。在新常态之前,中国的影子银行高速增长,货币超发与资金脱实向虚显著。国内学术界对中国的影子银行与股票市场的关系也进行了一定的探索,但并没有通过建模研究二者的极值风险。本文基于马尔科夫链蒙特卡罗模拟比较了两个金融时间序列的极值风险,结果发现A股市场的极值风险大于影子银行,并提出相关建议。
[Abstract]:In end of 2015, the Central Economic Conference put forward the requirement of deleveraging for the first time in the financial field. Shadow banking and the stock market bear the brunt. The concept of shadow banking was first put forward by Wall Street fund managers in the United States. There are many viewpoints in American academic circles that the extreme value risk of American shadow banking and American stock market is very significant in the subprime mortgage crisis. Before the new normal, the shadow banking in China was growing at a high speed. The relationship between the shadow banking and the stock market in China is also explored in the domestic academic circles. Based on Markov chain Monte Carlo simulation, we compare the extreme value risk of two financial time series, and find that the extreme value risk of A share market is greater than that of shadow bank. And put forward relevant suggestions.
【作者单位】：中国社会科学院;
【分类号】：F832.3;F832.51
【正文快照】： 影子银行概念最早由美国提出。美国影子银行主要体现在金融衍生品领域,而中国影子银行主要体现在间接融资信贷领域,这也符合长期以来中国金融市场直接融资独大的现象。所以,2013年十八届三中全会《决定》提出了建立多层次资本市场的目标,提高直接融资比例,降低间接融资从而降

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