本文選題：系統(tǒng)風險　切入點：風險溢出效應　出處：《吉林大學》2017年碩士論文　論文類型：學位論文

【摘要】：在全球金融體系逐漸趨于一體化的今天,系統(tǒng)性金融風險的爆發(fā)頻率有所增加,因此對系統(tǒng)性金融風險的研究一直是經(jīng)濟學者們探討的重點。隨著度量金融風險理論的不斷提出,對系統(tǒng)性風險的研究已經(jīng)從整體細分到區(qū)域。本文在此背景下,測量當突發(fā)事件發(fā)生時,銀行、證券、保險三個金融市場之間風險溢出效應變化情況。在以往的研究成果中,對于系統(tǒng)性金融風險的度量經(jīng)歷了定性到定量的分析過程。提出了Va R(在險價值)概念來度量金融風險大小。在之后的發(fā)展中該方法被逐漸完善,相繼出現(xiàn)了CAVia R方法以及Co Va R方法,其中Co代表著條件性和傳染性,從度量模型的發(fā)展過程也可以看出系統(tǒng)性風險的研究從單個市場轉到了市場之間的風險聯(lián)動效應上。但在對于金融時間序列數(shù)據(jù)的處理和刻畫方面,模型的選擇仍然有待完善。本文選擇構建EGARCH-POT-Copula模型,來測量三個市場間的Co Va R值(聯(lián)動Va R),即某一市場對其他金融市場的風險聯(lián)動值。模型運用中發(fā)現(xiàn),EGARCH模型對刻畫收益率序列的非對稱性具有良好的擬合效果,同時對于殘差項的尖峰厚尾非正態(tài)性我們采用極值理論中的POT模型進行擬合,效果良好,從而得出三個子市場各自的Va R值。最后,引入數(shù)學領域中可以靈活表達非線性、非對稱關系的Clayton Copula函數(shù)來測量各市場間的Co Va R值。本文共分為五個部分,在第一部分緒論中,簡要闡述了選題的背景及意義,概述了系統(tǒng)性金融風險以及EGARCH-POT-Copula模型的發(fā)展歷史。在第二部分本文從理論分析角度分別闡述了三個市場系統(tǒng)性風險產(chǎn)生的原因,共同的因素包括政策制度不完善、金融市場不發(fā)達等。對市場間風險傳導機制進行了理論分析,包括直接傳導機制的三種渠道:融資風險渠道、支付環(huán)節(jié)、資產(chǎn)負債渠道,以及間接傳導因素羊群效應和市場間業(yè)務趨同現(xiàn)象。第三部分構建EGARCH-POT-Copula模型。第四部分選取了2007年至2017年申銀萬國二級行業(yè)數(shù)據(jù)進行實證研究得出的結果表明,第一,銀行業(yè)對證券業(yè)的溢出風險值最大,表明銀行業(yè)發(fā)生突發(fā)事件時對證券業(yè)的影響最大,并且證券業(yè)對銀行的溢出風險值也明顯高于對保險業(yè),說明銀行證券兩個子市場之間的風險聯(lián)動效應最強。第二,我們注意到雖然目前保險業(yè)對其他兩個市場的溢出風險值遠遠小于銀行業(yè),但是隨著我國保險市場規(guī)模的擴大,保險業(yè)資本金逐漸開始在其它金融子市場中活躍,因此我們提出對保險業(yè)溢出風險也要進行重點觀測,嚴加防范。第五部分本文根據(jù)實證分析的結論給出關于監(jiān)管市場間風險溢出效應的政策建議:基于風險溢出效應的存在性,穩(wěn)定金融市場的前提是要對風險傳導渠道進行關注。當某一市場爆發(fā)系統(tǒng)性風險危機時其他金融子市場應做出迅速應對措施,最大程度降低風險的傳染。在預防危機方面我們要重點跟蹤金融系統(tǒng)中重要商業(yè)銀行的系統(tǒng)性風險,嚴防銀行出現(xiàn)極端情況后向其他市場傳導風險。同時要循序漸進地推行混業(yè)經(jīng)營,加強宏觀審慎監(jiān)管,避免因風險溢出效應加大引起的系統(tǒng)性金融危機。綜上所述,本文運用極值理論中的POT模型與Copula函數(shù)結合針對我國金融子市場之間的系統(tǒng)性風險溢出效應進行分析,得出了以下結論:當某一市場爆發(fā)系統(tǒng)性風險危機時對其他金融市場會產(chǎn)生沖擊,風險的外溢會使危機在短時間內迅速蔓延。加強金融系統(tǒng)性風險危機的監(jiān)控與預防是金融市場穩(wěn)定發(fā)展的重要條件。
[Abstract]:In the global financial system gradually integration today, increased systemic financial risk outbreak frequency, so the research on the system of financial risk has been the focus of economic scholars. With the financial risk measurement theory being put forward, the study of systemic risk to the region as a whole has been subdivided. In this context, measurement when emergencies occur, banking, securities, insurance between the three financial market risk spillover effect changes. In previous research, the systemic financial risk measurement through the analysis of qualitative and quantitative is proposed. The Va R (value at risk) to measure the financial risk the size. After the development is gradually improved, there have been CAVia R Co Va method and R method, in which Co represents conditional and contagious, from the development process measurement model can also be The research of systematic risk transfer from single market risk linkage effect between the market. But in the processing and characterization of financial time series data, model selection is still to be improved. This paper chooses to build EGARCH-POT-Copula model, to measure the market between the three Co Va R (Va R, the linkage) other financial market linkage risk of a market value. That model application, EGARCH model has good fitting effect on depicting the asymmetry of the return series, while the peak thick tail of residuals from non normality we adopt POT model of extreme value theory in the fitting effect is good, so that the three sub markets the Va value of R. Finally, the flexible nonlinear expression can be introduced in the field of mathematics, asymmetric relationship between the Clayton Copula function to measure the market between the Co Va R value. This paper is divided into five parts, In the first part of the introduction, briefly describes the background and significance of the topic, an overview of the system of financial risk and EGARCH-POT-Copula model of development history. In the second part of this paper illustrates the three market risk causes, common factors include the policy system is not perfect, the underdevelopment of financial markets. The market risk conduction mechanism is analyzed, three kinds of channels, including direct transmission mechanism: financing channels, payment links, asset liability channel, and the indirect conduction factors of herding and market business convergence. The third part is the construction of the EGARCH-POT-Copula model. The fourth part is from 2007 to 2017 two SW level industry data the empirical research results show that the first, spillover risks of the banking industry on the securities industry, the largest value, suggest that the banking industry had burst Impact on the securities industry's biggest event, and the securities industry to overflow bank's risk value is significantly higher than that of the insurance industry, the strongest risk linkage effect between the two sub bank securities market. Second, we note that although spillover risk in the insurance industry at present on the other two market is far less than the value of the banking industry, but with the expansion of the scale of China's insurance market, capital insurance industry gradually became active in other financial markets, so we put forward to the insurance industry spillover risks should focus on observation, to guard against. The fifth part of this paper is given according to the conclusions of Empirical Analysis on the Risk Spillover Effect between market regulatory policy recommendations: the existence of the Risk Spillover Effect Based on the premise of the stability of financial markets is to focus on the risk conduction channels. When a market systemic risk crisis when other financial sub market should be Make rapid measures to minimize the risk of infection in the prevention of the crisis. We should focus on tracking the systemic risk of commercial banks in the financial system, the bank to prevent the extreme situation to other market transmission risk. At the same time to gradually carry out the mixed operation, strengthen macro prudential supervision, to avoid the risk of spillover effects increase system caused by the financial crisis. In summary, this paper uses POT model and Copula function in extreme value theory to analyze the combination between China's financial market system risk spillover effect, draws the following conclusions: when a market systemic risk crisis will have an impact on other financial markets, Risk Spillover will make the crisis spread rapidly in a short time. To strengthen the monitoring and prevention of the risk of financial crisis system is the important conditions for the stable development of the financial market.

【學位授予單位】：吉林大學
【學位級別】：碩士
【學位授予年份】：2017
【分類號】：F224;F832.5

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