本文選題：壓力測(cè)試 + 風(fēng)險(xiǎn)傳染效應(yīng)　； 參考：《湖南大學(xué)》2012年碩士論文

【摘要】：金融危機(jī)后宏觀壓力測(cè)試方法的研究得到了學(xué)術(shù)界的重視，但大多數(shù)關(guān)于宏觀壓力測(cè)試的研究都沒(méi)有考慮銀行間的風(fēng)險(xiǎn)傳染效應(yīng)，僅僅是考慮實(shí)體經(jīng)濟(jì)變化帶給銀行體系整體的沖擊，并沒(méi)有分析這些沖擊在銀行體系內(nèi)部擴(kuò)散蔓延可能會(huì)致使銀行體系面臨更大的風(fēng)險(xiǎn)。 為了準(zhǔn)確監(jiān)測(cè)和防范銀行體系面臨的潛在系統(tǒng)性風(fēng)險(xiǎn)，有必要在宏觀壓力測(cè)試的研究中考慮銀行風(fēng)險(xiǎn)傳染效應(yīng)。為此，本文提出了一個(gè)基于風(fēng)險(xiǎn)傳染效應(yīng)的宏觀壓力測(cè)試模型，并從金融業(yè)審慎管理的視角開(kāi)展宏觀壓力測(cè)試的研究。本文分兩步建立基于銀行風(fēng)險(xiǎn)傳染效應(yīng)的宏觀壓力測(cè)試模型。第一步構(gòu)造宏觀壓力測(cè)試模型。先通過(guò)實(shí)證分析確定了四個(gè)宏觀沖擊變量，分別為國(guó)內(nèi)生產(chǎn)總值增長(zhǎng)率、消費(fèi)者物價(jià)指數(shù)、國(guó)房景氣指數(shù)、企業(yè)家信心指數(shù)，，然后通過(guò)HP濾波對(duì)選定的風(fēng)險(xiǎn)指示器進(jìn)行了處理，最終通過(guò)處理后的風(fēng)險(xiǎn)指示器和宏觀經(jīng)濟(jì)變量之間的相關(guān)性構(gòu)建宏觀壓力測(cè)試模型。第二步構(gòu)造風(fēng)險(xiǎn)傳染模型，首先依據(jù)信息熵最優(yōu)化原理估測(cè)銀行間雙邊風(fēng)險(xiǎn)頭寸矩陣，然后通過(guò)矩陣法模型刻畫(huà)銀行在同業(yè)拆借市場(chǎng)上的借貸關(guān)系，并以此評(píng)估宏觀經(jīng)濟(jì)沖擊在銀行體系內(nèi)部的風(fēng)險(xiǎn)傳染效應(yīng)。 本文采用我國(guó)16家上市銀行的數(shù)據(jù)開(kāi)展基于銀行風(fēng)險(xiǎn)傳染效應(yīng)的宏觀壓力測(cè)試實(shí)證研究。得出結(jié)論：在同等壓力情景下，沒(méi)有考慮銀行間風(fēng)險(xiǎn)傳染效應(yīng)的壓力測(cè)試結(jié)果比考慮了銀行間風(fēng)險(xiǎn)傳染效應(yīng)的壓力測(cè)試結(jié)果進(jìn)行比較，前者的經(jīng)營(yíng)困難的銀行家數(shù)平均少2-3家，即潛在的風(fēng)險(xiǎn)被縮小，因此考慮風(fēng)險(xiǎn)傳染效應(yīng)的銀行壓力測(cè)試能夠更加客觀地衡量在極端風(fēng)險(xiǎn)情況下銀行體系面臨的真實(shí)風(fēng)險(xiǎn)。 在前面的理論分析和基于銀行間風(fēng)險(xiǎn)傳染效應(yīng)的宏觀壓力測(cè)試方法研究的基礎(chǔ)上，提出了我國(guó)銀行業(yè)防范系統(tǒng)性風(fēng)險(xiǎn)的對(duì)策，并有針對(duì)性地提出了宏觀壓力測(cè)試在宏觀審慎管理框架下運(yùn)用的若干建議。
[Abstract]:After the financial crisis, the research of macro stress testing methods has been paid attention to by the academic community, but most of the studies on macro stress testing do not take into account the risk contagion effect between banks. Only considering the impact of real economic changes on the banking system as a whole, it does not analyze that the spread of these shocks within the banking system may lead to greater risks to the banking system. In order to accurately monitor and prevent the potential systemic risks faced by the banking system, it is necessary to consider the risk contagion effect in the study of macro stress testing. In this paper, a macro stress test model based on risk contagion effect is proposed, and the study of macro stress test is carried out from the perspective of prudent management of financial industry. In this paper, a macro stress test model based on the risk contagion effect of banks is established in two steps. The first step is to construct a macro pressure test model. Firstly, four macro impact variables are determined by empirical analysis, which are GDP growth rate, consumer price index, national housing boom index, entrepreneur confidence index, and then the selected risk indicator is processed by HP filter. Finally, the macro-stress test model is constructed by the correlation between the risk indicator and macroeconomic variables. The second step is to construct a risk contagion model, which firstly estimates the risk position matrix between banks according to the optimization principle of information entropy, and then describes the lending relationship of banks in the interbank lending market through the matrix model. The risk contagion effect of macroeconomic shocks in the banking system is evaluated. Based on the data of 16 listed banks in China, this paper conducts an empirical study on macro stress testing based on the risk contagion effect of banks. It is concluded that under the same stress situation, the results of stress test without considering the effect of interbank risk contagion are compared with those of interbank risk contagion effect. The average number of banks with difficulty in operation of the former is 2-3 fewer than that of the stress test which takes into account the effect of interbank risk contagion. That is, the potential risk is reduced, so the risk contagion effect of the bank stress test can more objectively measure the real risk faced by the banking system in extreme risk situations. On the basis of the previous theoretical analysis and the study of macro stress testing methods based on the contagion effect of inter-bank risk, this paper puts forward the countermeasures to prevent systemic risk in China's banking industry. Some suggestions on the application of macro-stress test under the framework of macro-prudential management are put forward.
【學(xué)位授予單位】：湖南大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F832.3;F224

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