【摘要】：文章基于系統(tǒng)性風險指數(shù)SRISK方法,結(jié)合我國金融機構(gòu)的實際上市情況,利用DCC-GARCH模型,分別推導了A股、H股的長期資本短缺公式,并計算SRISK實際數(shù)值。然后以上市銀行、保險、證券等金融機構(gòu)等的交易數(shù)據(jù)為樣本,確定了金融機構(gòu)系統(tǒng)重要性的排名,并將其與基于同一分析框架的MES分析法進行對比分析。結(jié)果發(fā)現(xiàn),度量我國金融機構(gòu)的系統(tǒng)重要性,需要在MES分析的基礎上,結(jié)合動態(tài)相關(guān)性和波動性,根據(jù)SRISK模型法評估排名。我國金融機構(gòu)的系統(tǒng)重要性層次分明,保證了監(jiān)管機構(gòu)宏觀審慎的有效性。
[Abstract]:Based on the systematic risk index (SRISK) method and the actual listing situation of Chinese financial institutions, this paper deduces the formula of long-term capital shortage of A-share and H-share by using DCC-GARCH model, and calculates the actual value of SRISK. Then taking the transaction data of listed banks, insurance, securities and other financial institutions as samples, the ranking of systematical importance of financial institutions is determined and compared with the MES analysis method based on the same analytical framework. The results show that to measure the systemic importance of financial institutions in China, we need to evaluate the ranking according to the SRISK model method based on the MES analysis, combined with dynamic correlation and volatility. The systematic importance of financial institutions in China is clear, which ensures the effectiveness of macroprudential supervision.
【作者單位】： 南京師范大學商學院;
【基金】：國家社會科學基金青年項目(12CJY108)
【分類號】：F832.3
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本文編號：2181530