【摘要】：2007年美國爆發(fā)了金融危機(jī)，“影子銀行”的概念被首次提出，并被認(rèn)為是此次金融危機(jī)的罪魁禍?zhǔn)住?0世紀(jì)70年代金融自由化的的浪潮，使得金融創(chuàng)新理論迅速發(fā)展，并推動了影子銀行的產(chǎn)生與發(fā)展；到了90年代影子銀行體系已初步形成，金融衍生品的種類和數(shù)量不斷擴(kuò)大，，影子銀行體系迅速發(fā)展，同時也在一定程度上推動了美國經(jīng)濟(jì)的發(fā)展；21世紀(jì)，金融衍生產(chǎn)品結(jié)構(gòu)復(fù)雜、數(shù)量激增，由于其高杠桿率、不透明性、流動性高等特點(diǎn)，且缺乏相關(guān)金融監(jiān)管部門的監(jiān)督，使得金融市場上影子銀行暗藏了巨大的風(fēng)險，增大了金融市場的系統(tǒng)性風(fēng)險，導(dǎo)致2007年美國爆發(fā)了次貸危機(jī)，影子銀行體系的崩潰無疑是此次危機(jī)的導(dǎo)火索。我國資產(chǎn)證券化發(fā)展時間比較短，金融市場相對國外發(fā)展較為緩慢，我國影子銀行體系的發(fā)展時間不長，且與國外影子銀行系統(tǒng)有些差異，但也不能忽視其帶來的系統(tǒng)性風(fēng)險。因此，準(zhǔn)確度量影子銀行的風(fēng)險，如何采取有效的監(jiān)管措施成為了目前迫切需要解決的問題。 本文分為緒論、影子銀行相關(guān)理論綜述、影子銀行風(fēng)險度量實證研究、美國影子銀行體系的經(jīng)驗借鑒及對我國的啟示等主要部分。第一章緒論引出本文要研究的問題、選題背景和意義以及本文的創(chuàng)新、難點(diǎn)和不足，然后闡述了國內(nèi)外一些主要研究文獻(xiàn)綜述；第二章簡單介紹了影子銀行體系的概念和發(fā)展，以及VaR模型相關(guān)理論；第三章通過結(jié)合歷史數(shù)據(jù)運(yùn)用歷史模擬法以金融衍生品中的遠(yuǎn)期期貨和貨幣基金余額寶為例，分別從投資者和市場的角度對影子銀行體系的衍生產(chǎn)品利用VaR模型進(jìn)行風(fēng)險度量，進(jìn)行了實證研究；第四章結(jié)合美國影子銀行體系的結(jié)構(gòu)和發(fā)展，通過對其分析結(jié)合我國國情，在第五章提出了符合我國國情的影子銀行監(jiān)管政策和建議，并得出結(jié)論，以減少影子銀行給金融市場帶來的風(fēng)險，促進(jìn)我國金融市場健康穩(wěn)定的發(fā)展。
[Abstract]:The financial crisis broke out in the United States in 2007, and the concept of "shadow banking" was put forward for the first time, and it was regarded as the culprit of the financial crisis. The wave of financial liberalization in the 1970s made the theory of financial innovation develop rapidly. It has promoted the emergence and development of shadow banking. By the 1990s, the shadow banking system had been initially formed, the types and quantity of financial derivatives were continuously expanded, and the shadow banking system developed rapidly. At the same time, to some extent, it has also promoted the development of the US economy. In the 21st century, the structure of financial derivatives is complex and the number of financial derivatives has increased dramatically. Because of its characteristics of high leverage, opacity, high liquidity, and lack of supervision by relevant financial regulatory departments, The shadow banking system has hidden huge risks in the financial market, increased the systemic risk of the financial market, and led to the outbreak of the subprime mortgage crisis in the United States in 2007. The collapse of the shadow banking system is undoubtedly the trigger of the crisis. The development of asset securitization in China is relatively short, the financial market is relatively slow compared with foreign countries, the development of shadow banking system in China is not long, and there are some differences with foreign shadow banking system, but the systemic risks can not be ignored. Therefore, how to measure the risk of shadow banking with accuracy and how to take effective supervision measures have become an urgent problem to be solved. This paper is divided into the introduction, the shadow banking related theory summary, the shadow bank risk measurement empirical research, the American shadow banking system experience and the enlightenment to our country and so on main part. The first chapter introduces the problems to be studied, the background and significance of the topic, the innovation, difficulties and shortcomings of this paper, and then describes some of the main domestic and foreign research literature review; the second chapter briefly introduces the concept and development of shadow banking system. The third chapter takes forward futures and money fund Yu'e Bao in financial derivatives as an example by using historical simulation method with historical data. From the perspective of investors and markets, this paper makes an empirical study on the risk measurement of shadow banking system derivatives using VaR model. Chapter four combines the structure and development of the shadow banking system of the United States, through the analysis of the situation of our country. In the fifth chapter, the author puts forward the supervision policy and suggestion of shadow banking in accordance with the national conditions of our country, and draws a conclusion, in order to reduce the risks brought by shadow banking to the financial market and to promote the healthy and stable development of the financial market in our country.
【學(xué)位授予單位】：青島理工大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F831.59;F832.39

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