本文關(guān)鍵詞： 上市銀行 系統(tǒng)性風(fēng)險(xiǎn) 邊際效應(yīng)　出處：《湖南大學(xué)》2012年碩士論文　論文類型：學(xué)位論文

【摘要】：金融危機(jī)給我們的教訓(xùn)之一便是加強(qiáng)對系統(tǒng)性風(fēng)險(xiǎn)的監(jiān)管，而如何測度系統(tǒng)性風(fēng)險(xiǎn)成為系統(tǒng)性風(fēng)險(xiǎn)監(jiān)管的關(guān)鍵。本文在系統(tǒng)性風(fēng)險(xiǎn)e值法的基礎(chǔ)上，對我國上市銀行的系統(tǒng)性風(fēng)險(xiǎn)進(jìn)行了測度研究。 本文首先在前人研究的成果基礎(chǔ)上，對銀行系統(tǒng)性風(fēng)險(xiǎn)的相關(guān)理論進(jìn)行了梳理，深入分析系統(tǒng)性風(fēng)險(xiǎn)形成機(jī)理，對系統(tǒng)性風(fēng)險(xiǎn)的概念進(jìn)行了界定，總結(jié)了系統(tǒng)性風(fēng)險(xiǎn)不同于一般風(fēng)險(xiǎn)的特征，如：負(fù)外部性、傳染性、風(fēng)險(xiǎn)與收益不對稱性等。然后，詳細(xì)闡述了測度系統(tǒng)性風(fēng)險(xiǎn)的三類方法：指標(biāo)預(yù)警法、網(wǎng)絡(luò)分析法、基于市場數(shù)據(jù)的模型法，分析了各種模型的優(yōu)缺點(diǎn)，在此基礎(chǔ)上選擇了模型法中的系統(tǒng)性風(fēng)險(xiǎn)0(systemic risk beta)模型，之所以選擇模型法，是由于模型法采用公開可得市場數(shù)據(jù)，使結(jié)果更具前瞻性；也可以跟蹤一家機(jī)構(gòu)出現(xiàn)問題時對其他機(jī)構(gòu)的影響；還可以測度單個機(jī)構(gòu)對整個金融體系的系統(tǒng)性風(fēng)險(xiǎn)的貢獻(xiàn)。系統(tǒng)性風(fēng)險(xiǎn)e法的優(yōu)勢在于簡單易懂，技術(shù)要求不高，能被簡單地運(yùn)用，易于推廣，最重要的是，該方法對數(shù)據(jù)的要求不是很高，所需數(shù)據(jù)都是市場公開的，這特別適合像中國這樣的金融市場尚未成熟的發(fā)展中國家。另外，該方法還能夠進(jìn)一步拓展，使其適用性很好。然后本文利用該方法對我國13家上市銀行（中國農(nóng)業(yè)銀行、深圳發(fā)展銀行、光大銀行除外）的系統(tǒng)性風(fēng)險(xiǎn)貢獻(xiàn)度進(jìn)行了實(shí)證分析，，得到國有銀行的系統(tǒng)性風(fēng)險(xiǎn)直更大，即邊際效應(yīng)更大，在銀行系統(tǒng)中更重要；系統(tǒng)性風(fēng)險(xiǎn)的防范，既要關(guān)注那些系統(tǒng)性風(fēng)險(xiǎn)0值大的銀行，也要關(guān)注個體VaR可能出現(xiàn)劇烈波動的中小銀行等重要結(jié)論，通過該方法還能繪制出每家銀行對系統(tǒng)性風(fēng)險(xiǎn)貢獻(xiàn)度的系統(tǒng)性風(fēng)險(xiǎn)曲線圖。最后，本文在借鑒歐美發(fā)達(dá)國家監(jiān)管經(jīng)驗(yàn)與教訓(xùn)及本文的實(shí)證研究基礎(chǔ)上，提出了幾點(diǎn)防范和監(jiān)管銀行系統(tǒng)性風(fēng)險(xiǎn)的政策建議，如宏觀審慎監(jiān)管與微觀審慎監(jiān)管相結(jié)合；基于單個銀行的系統(tǒng)性風(fēng)險(xiǎn)貢獻(xiàn)度實(shí)施差異化監(jiān)管；完善信息披露制度等。
[Abstract]:One of the lessons of the financial crisis is to strengthen the regulation of systemic risk, and how to measure the systemic risk becomes the key to the regulation of systemic risk. This paper studies the systematic risk of listed banks in China. First of all, based on the results of previous studies, this paper combs the relevant theories of bank systemic risk, deeply analyzes the formation mechanism of systemic risk, and defines the concept of systemic risk. This paper summarizes the characteristics of systemic risk different from general risk, such as negative externality, infectivity, asymmetry of risk and income, etc. Then, three kinds of methods to measure systemic risk are elaborated in detail: index early warning method, network analysis method, etc. Based on the model method of market data, the advantages and disadvantages of various models are analyzed. On this basis, the systemic risk risk beta model of the model method is selected. The reason for choosing the model method is that the open available market data is adopted in the model method. To make the results more forward-looking; to track the impact of one institution's problems on others; and to measure the contribution of individual institutions to systemic risk across the financial system. Technical requirements are not high, can be used simply, easy to promote, most importantly, the method is not very high demand for data, the required data is open to the market, This is especially suitable for developing countries with immature financial markets such as China. In addition, the method can be further expanded to make it applicable. Then, this paper uses this method to 13 listed banks in China (Agricultural Bank of China, Agricultural Bank of China). The contribution of systemic risk to Shenzhen Development Bank (Shenzhen Development Bank, except Everbright Bank) has been empirically analyzed, and it has been found that the systemic risk of state-owned banks is directly greater, that is, the marginal effect is greater, and it is more important in the banking system; the prevention of systemic risk, We should not only pay attention to the banks with a large systemic risk of 0, but also pay attention to the important conclusions such as small and medium-sized banks whose individual VaR may fluctuate sharply. Through this method, we can also draw the systemic risk graph of each bank's contribution to systemic risk. Finally, this paper draws lessons from European and American developed countries' regulatory experience and empirical research. Some suggestions are put forward to prevent and supervise the systemic risk of banks, such as the combination of macro-prudential supervision and micro-prudential supervision, the implementation of differentiated supervision based on the contribution of individual banks to systemic risk, and the improvement of information disclosure system.
【學(xué)位授予單位】：湖南大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F832.33

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相關(guān)期刊論文 前3條

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