發(fā)布時間：2018-01-02 20:43

  本文關(guān)鍵詞：基于分位數(shù)回歸方法的我國銀行業(yè)系統(tǒng)性風(fēng)險測度研究　出處：《西南財經(jīng)大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 系統(tǒng)性風(fēng)險 COVAR 分位數(shù)回歸 VAR 銀行

【摘要】：自從2008年由次貸危機引起的全球性金融危機以來,金融體系的系統(tǒng)性風(fēng)險一直是國內(nèi)外理論界和實業(yè)界研究的熱點和重點。同時全球性金融危機世界各國的業(yè)界以及學(xué)術(shù)界開始反思之前的風(fēng)險預(yù)測和監(jiān)控機制,意識到僅僅依靠微觀監(jiān)管無法防范和化解系統(tǒng)性風(fēng)險,不能只關(guān)注單個金融機構(gòu)或單個行業(yè)的風(fēng)險,必須著眼于整個金融體系的健康狀況和穩(wěn)定性,以防范系統(tǒng)性風(fēng)險為目標(biāo),加強宏觀審慎監(jiān)管,從全局的角度去評估和防范金融體系的風(fēng)險。因而在金融危機期間以及過后的后金融危機時期,人們的關(guān)注點開始由重視單個機構(gòu)的風(fēng)險控制轉(zhuǎn)而嚴密關(guān)注整個金融體系的系統(tǒng)性風(fēng)險,并且轉(zhuǎn)向深入地研究探索有效的金融體系的系統(tǒng)性風(fēng)險的有效預(yù)測,度量,防范等的管理方法。國際貨幣基金組織(IMF)開始對國際金融體系進行改革,其中對國際金融體系的改革的核心議題之一就是要大力提倡對整個金融體系施行宏觀審慎監(jiān)管的政策以加強系統(tǒng)層面的穩(wěn)定性。我國“十二五計劃”也明確指出要構(gòu)建和健全系統(tǒng)性金融風(fēng)險防范預(yù)警、評估體系和處置機制,可見作為金融風(fēng)險領(lǐng)域最為重要的熱點問題——系統(tǒng)性風(fēng)險問題,必然是十二五重點的研究對象。 銀行作為重要資金融通的中介機構(gòu)和金融體系的核心組成部門,中國銀監(jiān)會主席尚福林(2014)指出我國企業(yè)通過銀行體系融資占整個融資額度的比重達超過了80%,中國銀行業(yè)的資產(chǎn)規(guī)模占整個金融業(yè)的全部金融資產(chǎn)比重高達90%以上,即使在資本市場發(fā)達的美國,2012年美國非金融企業(yè)通過銀行這種間接融資渠道融資占企業(yè)整個融資金額的比重也達到31.3%,而且銀行是人們?nèi)粘Ｉ钪�、儲蓄、借貸以及償付等活動正常進行的重要支撐保障,即在貨幣、信用關(guān)系主宰市場經(jīng)濟的時代,除了少數(shù)例外的情形外,幾乎全部的債權(quán)或貨幣財富所有權(quán)的轉(zhuǎn)移都需要借助銀行等信用機構(gòu)的媒介作用,這意味著人們和企業(yè)日常經(jīng)濟活動得以正常進行保障支付結(jié)算體系就是以銀行為中心來構(gòu)建的。 銀行體系的穩(wěn)定有效的運轉(zhuǎn),對其經(jīng)濟平穩(wěn)較快地發(fā)展非常重要。因而銀行系統(tǒng)性風(fēng)險的必然也開始受到重視,后危機時期,對銀行系統(tǒng)性風(fēng)險的關(guān)注和研究也迅速的多了起來。眾所周知,我國金融體系是銀行主導(dǎo)型,因而如何防范銀行系統(tǒng)性風(fēng)險必然是我國金融體系風(fēng)險的研究的重點,這對我國金融體系的穩(wěn)健運營也有著十分重要的理論和現(xiàn)實意義,特別是對建立上海國際金融中心和人民幣國際化有著重要的意義。 而對銀行系統(tǒng)性風(fēng)險的防范的重點在于對銀行系統(tǒng)性風(fēng)險的有效且準(zhǔn)確的測度。我國對于銀行系統(tǒng)性風(fēng)險的研究較之于國外起步相對較晚,關(guān)于我國構(gòu)建適合我國銀行業(yè)實際情況的系統(tǒng)性風(fēng)險測度方法研究還處于初級階段。在此背景下,本文基于我國14家上市銀行的315周股票價格數(shù)據(jù),試圖運用分位數(shù)回歸方法并結(jié)合新近提出COVAR理論對我國銀行業(yè)系統(tǒng)性風(fēng)險狀況進行測度,并對我國各上市銀行的系統(tǒng)重要性進行初步測算,以期探索我國銀行業(yè)系統(tǒng)性風(fēng)險的有效度量方法。本文的研究具體安排如下： 第一章是緒論部分,主要是對本文的研究背景進行簡要介紹,并闡述了本文的研究意義,同時簡要梳理了國內(nèi)外銀行系統(tǒng)性風(fēng)險的研究動態(tài)。并對本文的研究方法進行了簡單闡述。 第二章主要從定義、特征、危害、形成原因以及傳染幾個方面對銀行系統(tǒng)性風(fēng)險進行了概述,同時介紹了關(guān)于這幾個方面的研究狀況。 第三章要是對本文所運用的分位數(shù)回歸模型及理論進行了簡單介紹,并對其在風(fēng)險度量領(lǐng)域的運用相關(guān)文獻進行梳理；同時對關(guān)于銀行系統(tǒng)性風(fēng)險測度方法相關(guān)文獻基于宏觀和微觀角度進行了詳細歸類梳理。 第四章介紹了本所收集的14家銀行的股票價格數(shù)據(jù),并基于此計算了其股票指數(shù)及收益率序列。同時構(gòu)建了基于分位數(shù)回歸方法和COVAR理論的本文度量銀行系統(tǒng)性風(fēng)險的具體模型。 第五章是對我國銀行業(yè)系統(tǒng)性風(fēng)險狀況進行實證分析,運用第四章所構(gòu)建的模型對所算出來各家股票收益率序列分別于銀行總體股票收益率序列做分位數(shù)回歸,計算出個銀行和銀行總體之間的VAR. COVAR,并對各回歸結(jié)果進行分析和試圖對推算我國具有系統(tǒng)重要性的銀行,結(jié)合研究結(jié)果本文認為工商銀行,建設(shè)銀行,中國銀行和交通銀行第一梯隊的系統(tǒng)重要性銀行,招商銀行、中信銀行及浦發(fā)銀行三大著名的股份制商業(yè)銀行為第二梯隊的系統(tǒng)重要性銀行,這與我國實際情況也基本相符合,并對我國銀行業(yè)系統(tǒng)性風(fēng)險的監(jiān)管提出相關(guān)建議。 第六章是闡述了本文研究的主要結(jié)論及不足。 本文基于分位數(shù)回歸方法并結(jié)合COVAR理論構(gòu)建了測量我國銀行業(yè)系統(tǒng)性風(fēng)險的模型。分位數(shù)回歸能夠有效處理股票收益序列常見“尖峰厚尾”問題,同時COVAR理論是對VAR理論的改進的方法,它能夠度量在銀行與銀行體系間的風(fēng)險的溢出效應(yīng),研究結(jié)果也與我國銀行業(yè)實際情況基本相符,因而這說明該模型是適用于度量我國銀行業(yè)系統(tǒng)性風(fēng)險的,因而本文的研究對于探索測度我國銀行業(yè)系統(tǒng)性風(fēng)險的方法是有一定意義的。
[Abstract]:Since the 2008 subprime mortgage crisis caused by the global financial crisis, systemic risk in the financial system has been the domestic and foreign economists. At the same time, the focus of the global financial crisis around the world industry and academia began to risk measurement and monitoring before the pre reflection mechanism, realize depending solely on the micro regulation cannot prevent and to resolve the systemic risk, not only concerned about the risk of individual financial institutions or individual industries, we must focus on the health of the financial system and stability, to prevent systemic risk as the goal, to strengthen macro prudential supervision, from the global perspective to assess and prevent the risk of the financial system. Therefore, during the financial crisis, after the after the financial crisis, controlled by the attention to the risk of individual institutions to pay close attention to the system of the entire financial system began to people's attention The risk and predict risk, steering system in-depth study to explore the effective measure of the financial system, management method and prevention. The International Monetary Fund (IMF) began to reform the international financial system, one of the reform of the international financial system is the core issue which is to vigorously promote the implementation of macro prudential supervision on the whole the financial system policy to strengthen the stability of the system level. China's "12th Five-Year plan" clearly pointed out that we must construct and perfect the system of financial risk pre-warning, evaluation system and disposal mechanism, financial risk is visible as the most important hot issues of systemic risk problems, must be the research object in 12th Five-Year focused on.
The bank as the core important finance intermediary institutions and the financial system composed of departments, China CBRC Chairman Shang Fulin (2014) pointed out that China's enterprises financing through the banking system for the entire amount of financing amounted to more than 80%, China banking assets accounted for the entire financial industry all the proportion of financial assets as high as 90%, developed even in the capital market of the United States, 2012 U.S. non financial enterprises through bank indirect financing channels of the financing proportion of the whole enterprise financing amount has reached 31.3%, and the bank savings in people's daily life, and an important support to ensure borrowing and reimbursement activities normally carried out, namely in the currency, credit relations dominate the market economy era, apart from a few exceptions, almost all of the debt or monetary wealth transfer of ownership to help banks and other credit institutions in the role of the media This means that the daily economic activities of people and enterprises are normal and the system of payment and settlement is built in the center of the bank.
The stability of the banking system and effective operation, is very important for the stable and rapid economic development. Therefore, the necessity of bank systemic risk is also beginning to receive attention, after the crisis, the bank systemic risk concerns and study more rapidly up. As everyone knows, China's financial system is bank oriented, so the emphasis how to prevent the systemic risk of banks is the inevitable research of China's financial system risk, also has a very important theoretical and practical significance to China's financial system steady operation, especially has an important significance for the establishment of the Shanghai international financial center and the internationalization of the RMB.
While the bank systemic risk prevention focus on systemic risk of banks effectively and accurately measure. China's banking systemic risk research compared with foreign countries started relatively late, about the systemic risk of the construction of China's banking industry of China's actual situation measurement research is still in the initial stage of this background. In this paper, 14 listed banks in China in the 315 week of stock price based on the data, attempts to use quantile regression method combined with the recently proposed COVAR theory to measure the risk of China's banking system, and preliminary estimates of China's listed banks of systemic importance, to explore the effective method for measuring bank of our country industry systemic risk. This research as follows:
The first chapter is the introduction. It mainly introduces the research background of this paper, and expounds the significance of this research. At the same time, it briefly reviews the research trends of systemic risk at home and abroad, and briefly describes the research methods in this paper.
The second chapter outlines the systemic risks of banks from the aspects of definition, characteristics, hazards, causes and contagion, and introduces the research status of these aspects.
If the third chapter to the article by Quantile Regression Model and theory were introduced, and carries on the analysis in the risk measurement field using the related literature; at the same time on bank systemic risk measurement literature based on the macro and micro angle in detail to classify.
The fourth chapter introduces the stock price data collected by 14 banks, and calculates the stock index and yield series based on this data. Meanwhile, a quantile regression method and COVAR theory are applied to measure the systemic risk of banks.
The fifth chapter is the empirical analysis of the risk situation of China's banking system, the fourth chapter uses the model to calculate the stock returns in overall bank stock returns for quantile regression, calculated between a bank and general VAR. COVAR, and the regression results are analyzed and try to have systemic importance of predicting China's banks, combined with the research results in this paper that the industrial and commercial bank, construction bank, bank system, the importance of the first echelon China bank and Bank of China Merchants Bank, CITIC Bank and Pudong Development Bank three famous joint-stock commercial banks as systemically important banks of the second echelon, this and our country the actual situation is basically consistent, and puts forward some suggestions on China's banking system risk supervision.
The sixth chapter is to explain the main conclusions and shortcomings of this study.
In this paper, the quantile regression method and combining the COVAR theory to construct the measurement of China's banking system risk model based on quantile regression can common quotfattail effectively deal with the problem of stock return series, and COVAR theory is that the improved method of VAR theory, it can measure the Risk Spillover Effect between banking and Banking system the results are also compared with the banking of our country actual circumstance, which shows that the model is applicable to measure the systematic risk of China's banking industry, so the research of this paper is to explore the method to measure China's banking system risk is significant.

【學(xué)位授予單位】：西南財經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F832.33;F224

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