【摘要】：2007年初美國爆發(fā)了本世紀(jì)以來影響最大的次級抵押貸款危機,危機迅速蔓延至歐洲大陸諸國,而早期預(yù)警系統(tǒng)、信用評估體系、信用評級機構(gòu)卻在此次危機面前集體失效。金融創(chuàng)新使得全球化投資主體無法小視任何金融風(fēng)險,特別是結(jié)構(gòu)化的金融產(chǎn)品。全球交易系統(tǒng)已將危機傳遞給了全世界,涵蓋了金融體系內(nèi)的所有機構(gòu)。從發(fā)生的地域來看,此次危機從美國向歐洲、日本乃至全球迅速擴散,呈現(xiàn)了全球性和系統(tǒng)性的特征。傳統(tǒng)經(jīng)濟學(xué)理論認(rèn)為：金融危機更容易在監(jiān)管不完備、金融市場與本國經(jīng)濟結(jié)構(gòu)具有明顯錯配的新興市場國家爆發(fā),而此次危機卻源自金融業(yè)市場化程度最高的美國。由此可見,復(fù)雜的結(jié)構(gòu)化金融產(chǎn)品和針對金融監(jiān)管的創(chuàng)新,對現(xiàn)代復(fù)雜金融環(huán)境下的危機預(yù)警提出了更高的要求。目前尚不存在對創(chuàng)新引發(fā)金融危機有效的預(yù)警方法,因此需要我們改變研究思路,尋找新方法解決這個古老問題。本研究嘗試引入新興交叉學(xué)科的成果,提高防范創(chuàng)新型金融危機爆發(fā)后帶來的國家主權(quán)信用違約風(fēng)險的能力。 鑒于次級抵押貸款危機所表現(xiàn)出來的復(fù)雜性和全球化特點,我們對國家主權(quán)風(fēng)險的研究內(nèi)容界定為：國家主權(quán)信用違約風(fēng)險的數(shù)量化排序問題。研究思路是借助多目標(biāo)決策方法,為創(chuàng)新型金融危機后的國家主權(quán)信用違約風(fēng)險排序提供方法支持；借助數(shù)據(jù)挖掘技術(shù),對量化排序的國家主權(quán)信用違約風(fēng)險進行分級評價。本研究的目標(biāo)是：探索解決新型金融危機全球化帶來的國家主權(quán)信用違約風(fēng)險識別與防范問題,為全球范圍內(nèi)的貿(mào)易與投資,提供國家主權(quán)信用違約風(fēng)險研判與規(guī)避的科學(xué)方法�；谏鲜隹紤],本研究論文包括以下內(nèi)容： 第一、回顧了次級抵押貸款危機逐步發(fā)展成為金融危機的全過程,并指出了基于全球化金融創(chuàng)新以及現(xiàn)代復(fù)雜金融產(chǎn)品所帶來的創(chuàng)新型金融以及由此引發(fā)的新問題,提出了引入新興交叉學(xué)科的研究方法以應(yīng)對新出現(xiàn)問題的研究思路。 第二、次級抵押貸款危機被認(rèn)為是一場信用風(fēng)險所引發(fā)的金融危機。文中回顧了已有的信用風(fēng)險評估模型與信用評級等相關(guān)概念,以次級抵押貸款危機逐步發(fā)展成為金融危機并導(dǎo)致國家主權(quán)信用違約為線索,指出目前已有的國家主權(quán)信用評級方法存在的不足,利用計量經(jīng)濟學(xué)的傳統(tǒng)方法預(yù)測了由次貸危機所導(dǎo)致國家主權(quán)信用違約風(fēng)險,得出結(jié)論：傳統(tǒng)計量經(jīng)濟學(xué)方法無法預(yù)測、識別這類由金融創(chuàng)新導(dǎo)致的國家主權(quán)信用風(fēng)險。第三、數(shù)據(jù)挖掘與多目標(biāo)決策方法的發(fā)展為解決國家主權(quán)信用違約問題提出了新的思路和數(shù)量化方法。研究中利用數(shù)據(jù)挖掘與多種多目標(biāo)決策方法的融合,結(jié)合次級抵押貸款危機的特點,提出了基于時間維度的多目標(biāo)風(fēng)險預(yù)警模型,對國家主權(quán)信用違約風(fēng)險的量化排序進行了實證研究。第四、研究的最后,對國家主權(quán)信用違約風(fēng)險的量化排序結(jié)果利用數(shù)據(jù)挖掘方法進行分級評價,并借鑒金融壓力測試的思想,對模型進行了敏感性分析和進 一步的結(jié)果檢驗。通過實證檢驗證明了本文提出的國家主權(quán)信用違約風(fēng)險評估模型具有良好的預(yù)測效果,通過模型檢驗和敏感性分析,證明了模型具有良好的魯棒性和穩(wěn)定性。國家主權(quán)信用違約風(fēng)險是一個涉及宏觀與微觀的多層面的研究對象,研究內(nèi)容寬泛,數(shù)據(jù)類型多樣,屬于復(fù)雜系統(tǒng)的研究領(lǐng)域,已有的研究中尚未形成被廣泛接受的統(tǒng)一研究范式。本研究作為該領(lǐng)域的探索性研究之一,嘗試將新興交叉學(xué)科的研究方法引入其中,為古老的國家主權(quán)信用違約風(fēng)險問題提供新的研究思路。
[Abstract]:In early 2007, the U. S. outbreak of the largest subprime mortgage crisis since the century, the crisis spread rapidly to the countries of the European continent, and the early warning system, the credit evaluation system and the credit rating agencies were collectively failing in the face of the crisis. The financial innovation makes the main body of the globalization not to see any financial risks, especially the structured financial products. The global trading system has delivered the crisis to the world, covering all the institutions in the financial system. From the regional perspective, the crisis has spread rapidly from the United States to Europe, Japan and the world, presenting global and systematic features. The traditional economics theory holds that the financial crisis is more easily regulated and the financial market has a clearly mismatched emerging market country with its own economic structure, and the crisis has come from the most market-oriented United States in the financial industry. It can be seen that the complex structured financial products and the innovation of financial supervision have put forward higher requirements for the crisis early warning in the modern complex financial environment. There is no effective early-warning method for innovation-induced financial crisis, so we need to change the research thinking and find a new way to solve this old problem. The study attempts to introduce the results of the emerging cross-discipline and improve the ability of the risk of national sovereignty credit default after the outbreak of the innovative financial crisis. In view of the complexity of the subprime mortgage crisis and the characteristics of globalization, our study on the risk of national sovereignty is defined as the quantitative sequencing of the risk of national sovereignty credit default. In this paper, by means of the multi-objective decision-making method, the paper provides the method support for the national sovereignty credit default risk sorting after the innovative financial crisis; by means of the data mining technology, the national sovereignty credit default risk of the quantitative ordering is graded and evaluated. The purpose of this study is to explore the national sovereignty credit default risk identification and prevention problems arising from the globalization of the new financial crisis, to provide the scientific side of the research and avoidance of the national sovereignty credit default risk for trade and investment in the global scope Based on the above considerations, the present study includes the following First, it reviews the step-by-step development of the subprime mortgage crisis as the financial crisis The whole process, and points out the innovative finance brought about by the financial innovation of globalization and the modern complex financial products, and the new problems arising from it, put forward the research method to introduce the new cross-discipline to deal with the new problems. The second, the subprime mortgage crisis is considered a credit risk. In this paper, the related concepts of credit risk assessment model and credit rating are reviewed. The development of the secondary mortgage crisis has become the financial crisis and leads to the sovereign credit default of the national sovereignty, and points out the existing method of national sovereignty credit rating. The traditional method of econometrics has been used to predict the risk of the sovereign credit default caused by the sub-loan crisis, and it is concluded that the traditional econometrics method is not able to predict and identify the state-owned enterprises caused by the financial innovation. Third, the development of data mining and multi-objective decision-making is a new way to solve the problem of sovereign credit default. In this paper, a multi-objective risk early-warning model based on time dimension is put forward based on the combination of data mining and multi-objective decision-making methods, and the quantitative ordering of the risk of sovereign credit default is presented. The fourth, the last of the research, the quantitative ranking result of the national sovereignty credit default risk is classified and evaluated by the data mining method, and the model is sensitive by using the thought of the financial pressure test. inductive analysis and entry The results of one-step results show that the model of national sovereignty credit default risk assessment presented in this paper has a good prediction effect, and it is proved that the model has a good model by means of model test and sensitivity analysis. Robustness and stability. The risk of national sovereignty credit default is a multi-level research object involving macro and micro, the content of the study is broad and the data type is diverse, which belongs to the research field of complex system, and has not been widely accepted in the existing research. This study, as one of the exploratory studies in this field, has tried to introduce the research methods of emerging cross-disciplines into one of them, and to raise the risk of default of the ancient national sovereignty
【學(xué)位授予單位】：電子科技大學(xué)
【學(xué)位級別】：博士
【學(xué)位授予年份】：2012
【分類號】：F224;F831

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