【摘要】：金融危機(jī)的爆發(fā)給實(shí)體經(jīng)濟(jì)和金融市場(chǎng)造成了強(qiáng)烈沖擊,各國(guó)都意識(shí)到了對(duì)系統(tǒng)性風(fēng)險(xiǎn)監(jiān)管的必要性。隨著我國(guó)保險(xiǎn)業(yè)不斷繁榮發(fā)展,在資本市場(chǎng)當(dāng)中的地位越來(lái)越重要,因此對(duì)于保險(xiǎn)業(yè)系統(tǒng)性風(fēng)險(xiǎn)的度量及防范具有重要意義。本文從金融脆弱性理論和信息不對(duì)稱(chēng)理論的事實(shí)出發(fā),多維度探討新常態(tài)下我國(guó)保險(xiǎn)業(yè)系統(tǒng)性風(fēng)險(xiǎn)的成因、特征、度量和防范等問(wèn)題。保險(xiǎn)業(yè)系統(tǒng)性風(fēng)險(xiǎn)不斷積累的主要原因是系統(tǒng)重要性保險(xiǎn)機(jī)構(gòu)的風(fēng)險(xiǎn)溢出效應(yīng)和經(jīng)濟(jì)波動(dòng)的順周期性。針對(duì)以上兩個(gè)原因,本文基于宏觀(guān)審慎監(jiān)管理論,分別從橫截面維度和時(shí)間維度對(duì)保險(xiǎn)業(yè)系統(tǒng)性風(fēng)險(xiǎn)進(jìn)行理論分析和實(shí)證分析。在橫截面維度,利用修正后的CoVaR模型對(duì)系統(tǒng)重要性保險(xiǎn)機(jī)構(gòu)風(fēng)險(xiǎn)溢出進(jìn)行度量,通過(guò)實(shí)證研究得到中國(guó)平安的風(fēng)險(xiǎn)貢獻(xiàn)度較大,需要采用宏觀(guān)審慎監(jiān)管對(duì)系統(tǒng)重要性保險(xiǎn)機(jī)構(gòu)進(jìn)行重點(diǎn)監(jiān)管,以防范保險(xiǎn)業(yè)系統(tǒng)性風(fēng)險(xiǎn)。在時(shí)間維度,對(duì)經(jīng)濟(jì)波動(dòng)的順周期性與保險(xiǎn)業(yè)的順周期性之間的關(guān)系進(jìn)行分析,利用保險(xiǎn)公司保費(fèi)收入和計(jì)提的準(zhǔn)備金數(shù)量等影響因素與國(guó)內(nèi)生產(chǎn)總值進(jìn)行相關(guān)性分析,得到作為金融市場(chǎng)三駕馬車(chē)之一的保險(xiǎn)行業(yè)具有很強(qiáng)的順周期性,所以應(yīng)防范順周期性帶來(lái)的系統(tǒng)性風(fēng)險(xiǎn)。為防范我國(guó)保險(xiǎn)業(yè)的系統(tǒng)性風(fēng)險(xiǎn),基于宏觀(guān)審慎監(jiān)管,在橫截面維度方面加強(qiáng)對(duì)系統(tǒng)重要性保險(xiǎn)機(jī)構(gòu)的監(jiān)管,在時(shí)間維度方面建立逆周期政策工具,同時(shí)加強(qiáng)對(duì)系統(tǒng)性風(fēng)險(xiǎn)的預(yù)警和提示,并且還要注意宏觀(guān)審慎監(jiān)管與其他經(jīng)濟(jì)政策的協(xié)調(diào)。
[Abstract]:The outbreak of the financial crisis has caused a strong impact on the real economy and financial markets, and countries are aware of the need to regulate systemic risk. With the development of the insurance industry in our country, the position in the capital market is becoming more and more important, so it is of great significance to measure and prevent the systemic risk of the insurance industry. Based on the facts of financial vulnerability theory and information asymmetry theory, this paper discusses the causes, characteristics, measurement and prevention of the systemic risk of insurance industry in China under the new normal. The main reasons for the accumulation of systemic risks in insurance industry are the risk spillover effects of systemically important insurance institutions and the procyclicality of economic fluctuations. In view of the above two reasons, based on the macro-prudential supervision theory, this paper makes theoretical analysis and empirical analysis on the systemic risk of insurance industry from the cross-sectional dimension and the time dimension respectively. In the cross section dimension, using the modified CoVaR model to measure the risk spillover of systemically important insurance institutions, through the empirical study, we get the greater risk contribution of China Ping an. Macroprudential supervision is needed to supervise systemically important insurance institutions in order to prevent systemic risks in insurance industry. In the time dimension, this paper analyzes the relationship between the procyclicality of economic fluctuations and the procyclicality of the insurance industry, and analyzes the correlation between the insurance companies' premium income and the amount of reserves provided by the insurance companies and the GDP. As one of the troika of financial market, insurance industry has strong procyclicality, so we should guard against systemic risk brought by procyclicality. In order to prevent the systemic risks of the insurance industry in China, based on macro-prudential supervision, we should strengthen the supervision of systemically important insurance institutions in the cross-sectional dimension, and establish countercyclical policy tools in the time dimension. At the same time, strengthen the warning and warning of systemic risk, and pay attention to the coordination of macro-prudential regulation and other economic policies.
【學(xué)位授予單位】：吉林財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類(lèi)號(hào)】：F842

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