【摘要】：隨著經(jīng)濟(jì)全球化和金融國(guó)際化的腳步越來越快,各國(guó)之間的經(jīng)濟(jì)往來越來越密切,金融市場(chǎng)一直處于快速發(fā)展的狀態(tài),但金融安全性問題也隨之越發(fā)變得嚴(yán)重。2008年以來,先后出現(xiàn)了美國(guó)次貸危機(jī)和歐洲債務(wù)危機(jī)兩次大的經(jīng)濟(jì)危機(jī),而這兩次經(jīng)濟(jì)危機(jī)蔓延至很多國(guó)家導(dǎo)致其經(jīng)濟(jì)受損。這種某單個(gè)機(jī)構(gòu)發(fā)生風(fēng)險(xiǎn)對(duì)其它有直接或間接性相關(guān)聯(lián)的金融機(jī)構(gòu),甚至整個(gè)金融市場(chǎng)造成沖擊的經(jīng)濟(jì)現(xiàn)象即為系統(tǒng)性風(fēng)險(xiǎn)溢出。我國(guó)金融市場(chǎng)對(duì)外開放的趨勢(shì)不斷增長(zhǎng),而在我國(guó)不是很健全的金融領(lǐng)域,銀行處于整個(gè)經(jīng)濟(jì)的核心地位,其密切的業(yè)務(wù)往來和復(fù)雜的網(wǎng)絡(luò)結(jié)構(gòu),使單個(gè)銀行發(fā)生風(fēng)險(xiǎn)時(shí),整個(gè)銀行體系就會(huì)產(chǎn)生“多米諾骨牌效應(yīng)”,單個(gè)銀行的風(fēng)險(xiǎn)將通過銀行間的聯(lián)系渠道大規(guī)模溢出,給整個(gè)銀行系統(tǒng),甚至是整個(gè)經(jīng)濟(jì)社會(huì)帶來巨大的損失。上市商業(yè)銀行無論從其規(guī)模還是其經(jīng)濟(jì)地位,研究其系統(tǒng)性風(fēng)險(xiǎn)溢出效應(yīng)對(duì)防范我國(guó)銀行業(yè)風(fēng)險(xiǎn)都有至關(guān)重要的意義。本文以我國(guó)16家上市商業(yè)銀行2012年6月15日至2015年3月31日的周收益率序列為研究對(duì)象,首先分別采用VaR模型和基于分位數(shù)回歸的CoVaR模型度量了16家上市商業(yè)銀行的風(fēng)險(xiǎn)價(jià)值水平,并將兩種模型得到的結(jié)果進(jìn)行比較,得出以下結(jié)論:CoVaR模型比VaR模型更有效。其次分別對(duì)16家上市商業(yè)銀行的風(fēng)險(xiǎn)溢出效應(yīng)的大小及方向進(jìn)行比較說明。再根據(jù)16家上市商業(yè)銀行的性質(zhì)將其分為國(guó)有商業(yè)銀行、股份制商業(yè)銀行、城市商業(yè)銀行三大類,并對(duì)這三類商業(yè)銀行系統(tǒng)性風(fēng)險(xiǎn)溢出大小進(jìn)行比較分析,得出以下結(jié)論:銀行間關(guān)聯(lián)度增加影響系統(tǒng)性風(fēng)險(xiǎn)程度;銀行規(guī)模對(duì)風(fēng)險(xiǎn)溢出效應(yīng)存在顯著影響;銀行風(fēng)險(xiǎn)控制力不完全影響其風(fēng)險(xiǎn)溢出效應(yīng)。接著根據(jù)實(shí)證分析結(jié)果提出六條建議:提高銀行自身抗風(fēng)險(xiǎn)水平、建立銀行系統(tǒng)性風(fēng)險(xiǎn)測(cè)量制度、限制商業(yè)銀行從事高風(fēng)險(xiǎn)業(yè)務(wù)、調(diào)整銀行監(jiān)管重心、搭建銀行資本防護(hù)提、汲取國(guó)際處理系統(tǒng)性風(fēng)險(xiǎn)的經(jīng)驗(yàn)。本文在對(duì)研究結(jié)果進(jìn)行分析時(shí),將數(shù)據(jù)分析得到的結(jié)果和現(xiàn)實(shí)中銀行發(fā)生系統(tǒng)性風(fēng)險(xiǎn)的概率結(jié)合起來對(duì)銀行的系統(tǒng)性風(fēng)險(xiǎn)進(jìn)行說明,是該課題研究的一個(gè)創(chuàng)新的角度。但我國(guó)上市商業(yè)銀行中,有個(gè)別銀行上市時(shí)間較晚,所研究的數(shù)據(jù)區(qū)間較短,不能夠完全說明這些銀行的系統(tǒng)性風(fēng)險(xiǎn)溢出效應(yīng)。因此,有必要再過幾年對(duì)該問題再次用同樣的方法進(jìn)行計(jì)算,將得到的結(jié)果與現(xiàn)在的結(jié)果相比較進(jìn)行分析。
[Abstract]:With the increasing pace of economic globalization and financial internationalization, the closer economic exchanges between countries, the financial market has been in a state of rapid development, but the financial security problem has become more serious. Since 2008, There have been two major economic crises in the United States and in Europe, which have spread to many countries and have hurt their economies. This kind of economic phenomenon that a single institution has a risk impact on other financial institutions directly or indirectly, even the whole financial market, is called systemic risk spillover. The trend of our country's financial market opening to the outside world is increasing. However, in the financial field which is not very sound in our country, banks are in the core position of the whole economy. Their close business transactions and complex network structure make a single bank at risk. The whole banking system will have a domino effect. The risk of a single bank will spill over through the channel of communication between banks, which will bring huge losses to the whole banking system and even to the whole economy and society. It is very important to study the systemic risk spillover effect of listed commercial banks in terms of their scale and economic status. In this paper, the weekly return sequence of 16 listed commercial banks from June 15, 2012 to March 31, 2015 is taken as the research object. Firstly, the VaR model and the CoVaR model based on quantile regression are used to measure the risk value level of 16 listed commercial banks, and the results obtained from the two models are compared, and the following conclusions are drawn: (1) the ratio CoVaR model is more effective than the VaR model. Secondly, the risk spillover effects of 16 listed commercial banks are compared and explained. According to the nature of 16 listed commercial banks, they are divided into three categories: state-owned commercial banks, joint-stock commercial banks and urban commercial banks. The conclusions are as follows: the increase of interbank correlation degree affects the degree of systemic risk; the scale of bank has significant influence on risk spillover effect; and the risk spillover effect is not completely affected by bank risk control. Then according to the results of empirical analysis, six suggestions are put forward: to improve the bank's own risk resistance level, to establish the system of bank systematic risk measurement, to restrict commercial banks from engaging in high-risk business, to adjust the focus of bank supervision, and to set up a bank capital protection proposal. Learn from international experience in dealing with systemic risk. In this paper, the results of data analysis and the probability of bank systemic risk in reality are combined to explain the systemic risk of the bank, which is an innovative angle of the research. However, among the listed commercial banks in China, some banks have a late listing time, and the data range studied is relatively short, which can not fully explain the systemic risk spillover effect of these banks. Therefore, it is necessary to use the same method to calculate the problem again in a few years, and compare the result with the present one.
【學(xué)位授予單位】：西安電子科技大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2015
【分類號(hào)】：F832.33

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