發(fā)布時間：2018-04-30 21:34

  本文選題：風險傳染效應 + 商業(yè)銀行��； 參考：《東華大學》2014年碩士論文

【摘要】：隨著金融自由化程度的加深,金融服務業(yè)不斷發(fā)展,銀行間的聯(lián)系日益緊密,銀行對外部的風險事件以及其他銀行的風險狀況變得敏感,這增加了風險迅速傳染擴散的可能性。近年來發(fā)生的金融危機就是從單間機構(gòu)的倒閉蔓延成為整個金融體系的危機。我們不僅應該監(jiān)測個體銀行的風險指標,而且也應該關(guān)注整個銀行體系的風險狀況,在考慮發(fā)生危機后風險傳染的情況下,評估整個體系的風險。巴塞爾銀行監(jiān)管委員會首次提出了系統(tǒng)重要性銀行(SIBs)的概念,由于其負外部性,很有可能成為風險的傳染源,加劇整個銀行體系的不穩(wěn)定性。 本文從風險的傳染源、傳染渠道、傳染效應幾個方面研究我國商業(yè)銀行的風險傳染機制。首先從銀行風險的特殊性入手,分析了風險傳染的特征及其成因理論,在此基礎上進一步分析風險的傳染渠道并指出潛在的風險傳染源是SIBs。接著,結(jié)合我國的實際情況分析銀行業(yè)的風險狀況,并利用銀行近幾年的數(shù)據(jù),運用指標法評估出我國的SIBs,除了五大行是我國的SIBs,興業(yè)銀行、招商銀行、浦發(fā)銀行等股份制銀行也有可能成為SIBs。然后利用資本市場上的數(shù)據(jù),結(jié)合GARCH模型、VaR、Copula函數(shù)的方法,定量地測算在極端風險狀況下SIBs和其他銀行之間的聯(lián)系,以此來測度銀行間風險傳染效應的大小,測度結(jié)果顯示SIBs是風險傳染源,南京銀行、北京銀行等中小銀行容易受到風險傳染。最后,為防范我國商業(yè)銀行的風險傳染從控制風險傳染源以及阻斷風險傳染渠道兩個方面來提出政策建議。本文創(chuàng)新地從系統(tǒng)重要性的角度研究銀行風險傳染效應,同時利用Copula函數(shù)進行定量分析,更好地認識到風險的傳染機制,具有較強的理論及實際意義。
[Abstract]:With the deepening of financial liberalization, the development of financial services industry, the increasingly close relationship between banks, banks become sensitive to external risk events and other banks' risk situation, which increases the possibility of rapid contagion and spread of risk. The financial crisis in recent years has spread from the collapse of a single institution to a crisis throughout the financial system. We should not only monitor the risk indicators of individual banks, but also pay attention to the risk situation of the whole banking system, and evaluate the risk of the whole system in the event of post-crisis risk contagion. The Basel Committee on Banking Supervision put forward the concept of systemically important banks for the first time. Because of its negative externalities, it is likely to become a source of risk infection and aggravate the instability of the whole banking system. This paper studies the risk transmission mechanism of commercial banks in China from the aspects of the source of infection, the channel of infection and the effect of contagion. Firstly, the characteristics of risk contagion and its origin theory are analyzed from the particularity of bank risk. On this basis, the infectious channel of risk is further analyzed and the potential source of risk infection is SIBs. Then, according to the actual situation of our country, we analyze the risk situation of the banking industry, and use the data of the banks in recent years to evaluate the SIBsof our country by using the index method. In addition to the five big banks in our country, they are SIBs, Industrial Bank, China Merchants Bank. Shanghai Development Bank and other joint-stock banks are also likely to become SIBs. Then, using the data in the capital market and the method of GARCH model, the relationship between SIBs and other banks under extreme risk is measured quantitatively to measure the risk contagion effect between banks. The results show that SIBs is the source of risk infection, and small and medium-sized banks such as Nanjing Bank and Beijing Bank are vulnerable to risk infection. Finally, in order to prevent the risk contagion of commercial banks in China, the author puts forward some policy suggestions from two aspects: controlling the source of risk infection and blocking the channel of risk transmission. In this paper, the risk contagion effect of banks is studied from the angle of systematical importance, and the risk contagion mechanism is better recognized by using Copula function, which is of great theoretical and practical significance.
【學位授予單位】：東華大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F832.33

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本文編號：1826350