基于模糊极大熵原理的金融系统脆弱性诊断模型

发布时间：2018-01-24 23:53

本文关键词： 金融脆弱性最大熵原理隶属度指标筛选　出处：《南京理工大学》2014年硕士论文　论文类型：学位论文

【摘要】：伴随着我国金融自由化速度加快、金融全球化日益加深,金融危机发生频率不断增加,给当地实体经济以及全球经济带来了严重损失,金融系统的稳定性引起了人们的关注。 1982年,明斯基在《金融体系内在脆弱性假说》中初次提出“金融脆弱性”观念旨在研究银行系统的稳定性问题。历经30余年的发展,在学术界与实务界已形成了一套较为完整的成熟的理论体系与监管架构。国内有关金融脆弱性的研究,主要集中在评价指标体系的构建,而对于金融脆弱性的度量方法以算术平均综合指数法为主,此类方法在刻画脆弱性的实际效果方面一直不够客观,缺乏可比性。基于如上事实,我们拟就金融脆弱性指标体系的设置与构建展开深入探讨,给出一个合理有效的指标划分；提出一个充分利用指标信息量的金融脆弱性的度量模型,实证分析表明,本文设计的金融脆弱性指标体系及其度量方法比之以往的体系与方法更为可靠、客观。首先,本文结合了中国金融体系特征以及前人的研究基础,设置了符合当前中国经济发展意义的金融脆弱性指标集,并且运用最大熵原理建立了评价模型。运用拉格朗日法对模型求解,得到最优的隶属度矩阵。该方法考虑了金融脆弱性各级别间的演化过程,而不是简简单单的只给出级别判断结果,这是算术平均综合指数法所不能企及的；其次,运用2002-2012年这11年间的相关经济数据,验证模型的有效性,得到我国各年金融系统脆弱性级别的最优隶属度矩阵。实证结果显示,本文给出的金融脆弱性度量模型比现有的测度模型更为合理、有效。另外,通过实证分析,还间接得出了我国金融脆弱性的产生根源。这是以往模型所不能展现的。
[Abstract]:With the acceleration of financial liberalization in China, financial globalization is deepening day by day, and the frequency of financial crisis is increasing, which has brought serious losses to the local real economy and the global economy. The stability of the financial system has attracted people's attention. In 1982, Minsky put forward the idea of "financial fragility" for the first time in "Financial system inherent vulnerability hypothesis" to study the stability of the banking system. It has been developed for more than 30 years. In the academic and practical circles has formed a more complete and mature theoretical system and regulatory framework. Domestic research on financial vulnerability is mainly focused on the evaluation index system. However, the measurement of financial vulnerability is based on the arithmetic average composite index method, which is not objective and comparable in describing the actual effect of financial vulnerability. Based on the above facts, we intend to discuss the establishment and construction of financial vulnerability index system, and give a reasonable and effective index division. This paper puts forward a financial vulnerability measurement model which makes full use of the index information. The empirical analysis shows that the financial vulnerability index system and its measurement method are more reliable than the previous systems and methods. Objective. First of all, this paper combines the characteristics of Chinese financial system and the basis of previous research, and sets up a set of financial vulnerability indicators in accordance with the current significance of China's economic development. The evaluation model is established by using the maximum entropy principle and the optimal membership matrix is obtained by solving the model by using the Lagrangian method. This method takes into account the evolution process among the different levels of financial vulnerability. It is not simply given the result of rank judgment, which is beyond the reach of the arithmetic average composite index method. Secondly, using the relevant economic data from 2002 to 2012 to verify the validity of the model, we get the optimal membership matrix of the vulnerability level of financial system in China. The empirical results show that. The financial vulnerability measurement model presented in this paper is more reasonable and effective than the existing measurement model. In addition, the origin of financial fragility is indirectly obtained by empirical analysis, which can not be demonstrated by previous models.
【学位授予单位】：南京理工大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F830.9;F224

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