本文選題：系統(tǒng)性金融風(fēng)險 + 評估監(jiān)測��； 參考：《湖南大學(xué)》2014年碩士論文

【摘要】：本文以中國系統(tǒng)性金融風(fēng)險的評估監(jiān)測為研究對象,根據(jù)中國金融市場運行的具體現(xiàn)狀,在對國內(nèi)外關(guān)于系統(tǒng)性金融風(fēng)險評估監(jiān)測研究總結(jié)的基礎(chǔ)之上,從國內(nèi)外研究對系統(tǒng)性金融風(fēng)險的定義出發(fā)，結(jié)合相關(guān)理論，界定系統(tǒng)性金融風(fēng)險的內(nèi)涵；然后，對系統(tǒng)性金融風(fēng)險評估理論進行分析，界定評估標(biāo)準(zhǔn)；從影響系統(tǒng)性金融風(fēng)險的因素出發(fā)，選取影響中國系統(tǒng)性金融風(fēng)險的指標(biāo)變量,構(gòu)建指標(biāo)體系,采用KLR信號分析法進行系統(tǒng)性金融風(fēng)險評估監(jiān)測的模型構(gòu)建,對中國系統(tǒng)性金融風(fēng)險進行評估監(jiān)測。論文主要研究內(nèi)容包括如下三個方面： 首先，對國內(nèi)外關(guān)于系統(tǒng)性金融風(fēng)險評估監(jiān)測的研究進行文獻概述。國內(nèi)的文獻研究偏重于理論層面指標(biāo)的選取，國外的研究中更多的是監(jiān)測模型理論的建立和改進。對于指標(biāo)的選取方面可以概括為五個類別的：宏觀經(jīng)濟總體運行指標(biāo)，如GDP增長率，通貨膨脹率等；銀行壞賬累積型風(fēng)險指標(biāo)，如不良貸款率等；泡沫經(jīng)濟風(fēng)險指標(biāo)，如股市平均市盈率等；債務(wù)風(fēng)險指標(biāo)，如短期外債/外債總額；外部沖擊風(fēng)險指標(biāo)，如利率匯率的變動等。 其次，對中國系統(tǒng)性金融風(fēng)險進行界定。因國內(nèi)外對系統(tǒng)性金融風(fēng)險的研究還不是很成熟，對其定義尚無統(tǒng)一的界定。本文在文獻學(xué)習(xí)基礎(chǔ)之上認(rèn)為，系統(tǒng)性金融風(fēng)險是指單個事件通過系統(tǒng)各部分之間傳導(dǎo)導(dǎo)致整個金融體系崩潰或喪失功能的可能性。在這里，金融系統(tǒng)可以理解為國家級別的宏觀金融風(fēng)險，也可以具體指一個特定的地區(qū)或區(qū)域。 最后，選取指標(biāo)并進行KLR信號分析。本文選取GDP增長率、平減通貨膨脹、固定資產(chǎn)投資額/GDP、新增貸款/GDP、國內(nèi)外實際利率偏差、實際利率上升率、貸款利率/存款利率、不良貸款/全部貸款、經(jīng)常項目差額/GDP、短期外債/外債余額、外債余額/GDP、短期外債余額/外匯儲備12個指標(biāo)變量，模型顯示，聯(lián)合運行系統(tǒng)性金融風(fēng)險指標(biāo)體系，，對系統(tǒng)性金融風(fēng)險的監(jiān)測預(yù)警具有較高的價值。
[Abstract]:This paper takes the evaluation and monitoring of China's systemic financial risk as the research object, according to the specific situation of the operation of Chinese financial market, on the basis of the summary of the domestic and foreign research on the systematic financial risk assessment and monitoring. Starting from the definition of systemic financial risk at home and abroad and combining with relevant theories, it defines the connotation of systemic financial risk, and then analyzes the theory of systemic financial risk assessment and defines the evaluation criteria. Based on the factors affecting the systemic financial risk, this paper selects the index variables that affect the systemic financial risk in China, constructs the index system, and uses KLR signal analysis method to construct the model of systematic financial risk assessment and monitoring. To assess and monitor the systemic financial risks in China. The main contents of this thesis are as follows: First of all, the domestic and foreign research on systematic financial risk assessment and monitoring are summarized. Domestic literature studies focus on the selection of theoretical indicators, and the establishment and improvement of monitoring model theory are more important in foreign research. For the selection of indicators can be summarized into five categories: macroeconomic overall operation indicators, such as GDP growth rate, inflation rate, bank bad debt cumulative risk indicators, such as non-performing loan ratio, bubble economic risk indicators, Such as stock market average price-earnings ratio; debt risk indicators, such as short-term external debt / total foreign debt; external shocks risk indicators, such as interest rate exchange rate changes. Secondly, define the systemic financial risk in China. Because the research on systemic financial risk is not very mature at home and abroad, there is no uniform definition of systemic financial risk. On the basis of literature study, this paper holds that systemic financial risk refers to the possibility that a single event leads to the collapse or loss of function of the entire financial system through the transmission between parts of the system. In this case, the financial system can be understood as a national level of macro financial risk, but also specific to a specific region or region. Finally, the index is selected and the KLR signal is analyzed. This paper selects GDP growth rate, deflator inflation, fixed asset investment / GDP, new loan, domestic and foreign real interest rate deviation, real interest rate increase rate, loan interest rate / deposit interest rate, non-performing loan / total loan, Current account balance / GDP, short-term external debt / foreign debt balance, external debt balance / foreign debt balance, short-term external debt balance / foreign exchange reserve, 12 index variables. The model shows that the system of systemic financial risk indicators is run jointly. The monitoring and warning of systemic financial risk is of high value.
【學(xué)位授予單位】：湖南大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F832

【參考文獻】

相關(guān)期刊論文 前10條

1 劉凱;;系統(tǒng)性金融風(fēng)險測度方法及對中國的啟示[J];銀行家;2010年07期

2 彭建剛;;基于系統(tǒng)性金融風(fēng)險防范的銀行業(yè)監(jiān)管制度改革的戰(zhàn)略思考[J];財經(jīng)理論與實踐;2011年01期

3 吳海霞,邢春華,孫嬋娟;運用信號分析法建立我國的金融風(fēng)險預(yù)警系統(tǒng)[J];金融論壇;2004年06期

4 余文建;黎桂林;;中央銀行如何防范和化解系統(tǒng)性金融風(fēng)險:美聯(lián)儲的經(jīng)驗與啟示[J];南方金融;2009年11期

5 黃佳軍;蔣海;;金融集聚、信息缺陷與金融風(fēng)險形成機制分析[J];南方金融;2010年11期

6 徐明東;劉曉星;;金融系統(tǒng)穩(wěn)定性評估:基于宏觀壓力測試方法的國際比較[J];國際金融研究;2008年02期

7 張曉樸;;系統(tǒng)性金融風(fēng)險研究:演進、成因與監(jiān)管[J];國際金融研究;2010年07期

8 符瑞武;;央行區(qū)域金融風(fēng)險監(jiān)測體系構(gòu)建中存在的問題及改革建議[J];海南金融;2009年06期

9 王輝;;次貸危機后系統(tǒng)性金融風(fēng)險測度研究述評[J];經(jīng)濟學(xué)動態(tài);2011年11期

10 陳忠陽;劉志洋;宋玉穎;;中國系統(tǒng)性風(fēng)險監(jiān)測與分析研究[J];吉林大學(xué)社會科學(xué)學(xué)報;2012年04期

相關(guān)博士學(xué)位論文 前1條

1 賴娟;我國金融系統(tǒng)性風(fēng)險及其防范研究[D];江西財經(jīng)大學(xué);2011年

本文編號：1833761