本文關鍵詞： 上市銀行 系統(tǒng)性風險 邊際效應　出處：《湖南大學》2012年碩士論文　論文類型：學位論文

【摘要】：金融危機給我們的教訓之一便是加強對系統(tǒng)性風險的監(jiān)管，而如何測度系統(tǒng)性風險成為系統(tǒng)性風險監(jiān)管的關鍵。本文在系統(tǒng)性風險e值法的基礎上，對我國上市銀行的系統(tǒng)性風險進行了測度研究。 本文首先在前人研究的成果基礎上，對銀行系統(tǒng)性風險的相關理論進行了梳理，深入分析系統(tǒng)性風險形成機理，對系統(tǒng)性風險的概念進行了界定，總結了系統(tǒng)性風險不同于一般風險的特征，如：負外部性、傳染性、風險與收益不對稱性等。然后，詳細闡述了測度系統(tǒng)性風險的三類方法：指標預警法、網絡分析法、基于市場數(shù)據(jù)的模型法，分析了各種模型的優(yōu)缺點，在此基礎上選擇了模型法中的系統(tǒng)性風險0(systemic risk beta)模型，之所以選擇模型法，是由于模型法采用公開可得市場數(shù)據(jù)，使結果更具前瞻性；也可以跟蹤一家機構出現(xiàn)問題時對其他機構的影響；還可以測度單個機構對整個金融體系的系統(tǒng)性風險的貢獻。系統(tǒng)性風險e法的優(yōu)勢在于簡單易懂，技術要求不高，能被簡單地運用，易于推廣，最重要的是，該方法對數(shù)據(jù)的要求不是很高，所需數(shù)據(jù)都是市場公開的，這特別適合像中國這樣的金融市場尚未成熟的發(fā)展中國家。另外，該方法還能夠進一步拓展，使其適用性很好。然后本文利用該方法對我國13家上市銀行（中國農業(yè)銀行、深圳發(fā)展銀行、光大銀行除外）的系統(tǒng)性風險貢獻度進行了實證分析，，得到國有銀行的系統(tǒng)性風險直更大，即邊際效應更大，在銀行系統(tǒng)中更重要；系統(tǒng)性風險的防范，既要關注那些系統(tǒng)性風險0值大的銀行，也要關注個體VaR可能出現(xiàn)劇烈波動的中小銀行等重要結論，通過該方法還能繪制出每家銀行對系統(tǒng)性風險貢獻度的系統(tǒng)性風險曲線圖。最后，本文在借鑒歐美發(fā)達國家監(jiān)管經驗與教訓及本文的實證研究基礎上，提出了幾點防范和監(jiān)管銀行系統(tǒng)性風險的政策建議，如宏觀審慎監(jiān)管與微觀審慎監(jiān)管相結合；基于單個銀行的系統(tǒng)性風險貢獻度實施差異化監(jiān)管；完善信息披露制度等。
[Abstract]:One of the lessons of the financial crisis is to strengthen the regulation of systemic risk, and how to measure the systemic risk becomes the key to the regulation of systemic risk. This paper studies the systematic risk of listed banks in China. First of all, based on the results of previous studies, this paper combs the relevant theories of bank systemic risk, deeply analyzes the formation mechanism of systemic risk, and defines the concept of systemic risk. This paper summarizes the characteristics of systemic risk different from general risk, such as negative externality, infectivity, asymmetry of risk and income, etc. Then, three kinds of methods to measure systemic risk are elaborated in detail: index early warning method, network analysis method, etc. Based on the model method of market data, the advantages and disadvantages of various models are analyzed. On this basis, the systemic risk risk beta model of the model method is selected. The reason for choosing the model method is that the open available market data is adopted in the model method. To make the results more forward-looking; to track the impact of one institution's problems on others; and to measure the contribution of individual institutions to systemic risk across the financial system. Technical requirements are not high, can be used simply, easy to promote, most importantly, the method is not very high demand for data, the required data is open to the market, This is especially suitable for developing countries with immature financial markets such as China. In addition, the method can be further expanded to make it applicable. Then, this paper uses this method to 13 listed banks in China (Agricultural Bank of China, Agricultural Bank of China). The contribution of systemic risk to Shenzhen Development Bank (Shenzhen Development Bank, except Everbright Bank) has been empirically analyzed, and it has been found that the systemic risk of state-owned banks is directly greater, that is, the marginal effect is greater, and it is more important in the banking system; the prevention of systemic risk, We should not only pay attention to the banks with a large systemic risk of 0, but also pay attention to the important conclusions such as small and medium-sized banks whose individual VaR may fluctuate sharply. Through this method, we can also draw the systemic risk graph of each bank's contribution to systemic risk. Finally, this paper draws lessons from European and American developed countries' regulatory experience and empirical research. Some suggestions are put forward to prevent and supervise the systemic risk of banks, such as the combination of macro-prudential supervision and micro-prudential supervision, the implementation of differentiated supervision based on the contribution of individual banks to systemic risk, and the improvement of information disclosure system.
【學位授予單位】：湖南大學
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F832.33

【參考文獻】

相關期刊論文 前3條

1 魏國雄;;系統(tǒng)性金融風險的識別與防范[J];金融論壇;2010年12期

2 肖崎;;金融體系的變革與系統(tǒng)性風險的累積[J];國際金融研究;2010年08期

3 朱元倩;苗雨峰;;關于系統(tǒng)性風險度量和預警的模型綜述[J];國際金融研究;2012年01期

本文編號：1551514