本文選題：影子銀行　切入點(diǎn)：業(yè)務(wù)關(guān)聯(lián)　出處：《經(jīng)濟(jì)問題》2017年12期 　論文類型：期刊論文

【摘要】：影子銀行業(yè)務(wù)關(guān)聯(lián)復(fù)合使得其內(nèi)部風(fēng)險交叉?zhèn)魅?并誘發(fā)系統(tǒng)性金融風(fēng)險,進(jìn)而危及金融安全。在業(yè)務(wù)關(guān)聯(lián)的視角下,通過對未貼現(xiàn)銀行承兌匯票、小額貸款公司信貸業(yè)務(wù)、委托貸款與信托貸款等主要影子銀行業(yè)務(wù)交叉運(yùn)行機(jī)制的分析,構(gòu)建t-Garch-Copula模型對影子銀行業(yè)務(wù)的交叉?zhèn)魅撅L(fēng)險進(jìn)行度量。研究發(fā)現(xiàn),影子銀行交叉?zhèn)魅撅L(fēng)險的形成源于資金交叉復(fù)合導(dǎo)致的信用錯配、期限錯配與流動性錯配;盡管影子銀行交叉?zhèn)魅撅L(fēng)險總體上可控,但四類主要的影子銀行業(yè)務(wù)均呈現(xiàn)正向的違約相依性;四類影子銀行業(yè)務(wù)間發(fā)生風(fēng)險交叉?zhèn)魅镜母怕手荡嬖陲@著差異,交叉風(fēng)險損失的程度不一。為此,參與者需要基于對影子銀行交叉?zhèn)魅撅L(fēng)險的考量追求收益,而監(jiān)管者則應(yīng)審慎把握監(jiān)管力度,在防控影子銀行交叉?zhèn)魅撅L(fēng)險的同時使其活躍金融要素的功能得到充分發(fā)揮。
[Abstract]:The shadow banking business association compound causes its internal risk cross infection, and induces the systemic financial risk, thus endangers the financial safety. In the view of the business association, by accepting the bill of exchange to the undiscounted bank, the credit business of the small loan company, Based on the analysis of the operation mechanism of principal shadow banking business such as entrusted loan and trust loan, t-Garch-Copula model is constructed to measure the cross-contagion risk of shadow banking business. The formation of cross contagion risk in shadow banks stems from the credit mismatch, term mismatch and liquidity mismatch caused by the combination of funds, although the risk of cross contagion in shadow banks is generally controllable. However, the four main types of shadow banking business all show positive default dependence, and the probability of risk cross-contagion among the four types of shadow banking business is significantly different, and the degree of cross-risk loss is different. Participants need to seek benefits based on the consideration of the risk of cross-contagion of shadow banks, while regulators should carefully grasp the supervision and control the risk of cross-contagion in shadow banks, so that the function of its active financial elements can be brought into full play while preventing and controlling the risk of cross-contagion in shadow banks.
【作者單位】： 南京大學(xué)經(jīng)濟(jì)學(xué)院;
【基金】：國家社會科學(xué)基金項(xiàng)目“‘影子銀行’交叉?zhèn)魅撅L(fēng)險度量及控制機(jī)制研究”(14BGL031) 中國特色社會主義經(jīng)濟(jì)建設(shè)協(xié)同創(chuàng)新中心資助項(xiàng)目
【分類號】：F224;F832.3

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