本文選題：系統(tǒng)性未定權(quán)益分析 + 系統(tǒng)違約風(fēng)險(xiǎn)��； 參考：《河北大學(xué)》2017年碩士論文

【摘要】：美國(guó)次貸危機(jī)的爆發(fā)引發(fā)全球經(jīng)濟(jì)危機(jī),對(duì)國(guó)際金融秩序造成嚴(yán)重的破壞與沖擊,系統(tǒng)性風(fēng)險(xiǎn)就是造成此次危機(jī)的主要原因之一。危機(jī)爆發(fā)以后,各國(guó)及學(xué)術(shù)界意識(shí)到加強(qiáng)金融監(jiān)管及防范系統(tǒng)性風(fēng)險(xiǎn)的重要性。近年來(lái),隨著我國(guó)房地產(chǎn)業(yè)的快速發(fā)展,房地產(chǎn)業(yè)已成為我國(guó)國(guó)民經(jīng)濟(jì)的支柱產(chǎn)業(yè),而作為房地產(chǎn)行業(yè)供給主體的房地產(chǎn)公司,近年來(lái)發(fā)生諸多違約事件,違約現(xiàn)象的產(chǎn)生為我國(guó)防范房地產(chǎn)公司系統(tǒng)違約風(fēng)險(xiǎn)敲響了警鐘。研究房地產(chǎn)公司系統(tǒng)違約風(fēng)險(xiǎn)對(duì)于把控房地產(chǎn)行業(yè)風(fēng)險(xiǎn)水平,促進(jìn)房地產(chǎn)市場(chǎng)健康發(fā)展具有重要意義。本文以2002年第一季度到2016年第二季度為研究區(qū)間,采用擴(kuò)展系統(tǒng)未定權(quán)益分析法度量了我國(guó)65家上市房地產(chǎn)公司系統(tǒng)違約風(fēng)險(xiǎn),第一步基于未定權(quán)益分析法測(cè)算了我國(guó)樣本房地產(chǎn)公司15年間每日違約距離、違約概率及違約損失。在測(cè)算結(jié)果中發(fā)現(xiàn)房地產(chǎn)公司違約概率在2002年至2016年間總體呈兩階段的先上升后下降的趨勢(shì),并于2008年及2015年達(dá)到最高點(diǎn),即違約風(fēng)險(xiǎn)較高,通過(guò)觀察雖然每家房地產(chǎn)公司違約概率較小,但在短期內(nèi)有快速上升的趨勢(shì);第二步由于房地產(chǎn)業(yè)具有金融特性,因此具有一定的相依性,考慮房地產(chǎn)公司間聯(lián)合違約現(xiàn)象,根據(jù)多元極值理論和多元Copula測(cè)算了房地產(chǎn)公司聯(lián)合違約概率及期望損失,通過(guò)觀察聯(lián)合違約概率的走勢(shì)同單家房地產(chǎn)公司的違約概率走勢(shì)基本一致,且聯(lián)合違約概率較高;第三步將測(cè)算的期望損失降序排列,可以識(shí)別綠地控股、銀億股份、光明地產(chǎn)等十家重要房地產(chǎn)公司,這些重要房地產(chǎn)公司的期望損失占比高達(dá)90%。隨著房地產(chǎn)業(yè)的快速發(fā)展,房地產(chǎn)市場(chǎng)風(fēng)險(xiǎn)顯現(xiàn),近幾年房地產(chǎn)公司違約事件頻發(fā),違約風(fēng)險(xiǎn)增加,經(jīng)過(guò)測(cè)度房地產(chǎn)公司聯(lián)合違約概率較大,系統(tǒng)違約風(fēng)險(xiǎn)較高。最后本文有針對(duì)性的提出了相關(guān)防控對(duì)策:第一,規(guī)范房地產(chǎn)公司融資結(jié)構(gòu),降低系統(tǒng)違約風(fēng)險(xiǎn);第二,加強(qiáng)房地產(chǎn)金融監(jiān)管,防范系統(tǒng)違約風(fēng)險(xiǎn);第三,建立房地產(chǎn)公司系統(tǒng)違約風(fēng)險(xiǎn)預(yù)警機(jī)制,識(shí)別系統(tǒng)重要機(jī)構(gòu)。
[Abstract]:The outbreak of the subprime mortgage crisis in the United States triggered the global economic crisis, causing serious damage and impact to the international financial order. Systemic risk is one of the main causes of the crisis. After the crisis broke out, countries and academia realized the importance of strengthening financial supervision and preventing systemic risks. In recent years, with the rapid development of China's real estate industry, the real estate industry has become the pillar industry of our national economy. The occurrence of breach of contract has sounded the alarm for our country to guard against the risk of real estate company system default. It is of great significance to study the system default risk of real estate companies to control the real estate industry risk level and promote the healthy development of real estate market. Taking the first quarter of 2002 to the second quarter of 2016 as the study interval, this paper uses the extended system undetermined equity analysis method to measure the systemic default risk of 65 listed real estate companies in China. The first step is to calculate the daily default distance, default probability and default loss of the sample real estate companies in our country for 15 years based on the undetermined equity analysis method. The results show that the probability of default of real estate companies rose first and then decreased in two stages from 2002 to 2016, and reached the highest point in 2008 and 2015, that is, the risk of default is higher. Although the probability of default of every real estate company is small, it has a tendency of rising rapidly in the short term. The second step is considering the phenomenon of joint default among real estate companies because the real estate industry has financial characteristics, so it has certain dependence. According to the theory of multivariate extreme value and multiple Copula, the joint default probability and expected loss of real estate company are calculated. The trend of joint default probability is basically consistent with that of single real estate company, and the joint default probability is higher. In the third step, ten major real estate companies, such as Greenbelt Holdings, Silver billion shares and Guangming Real Estate, can be identified in descending order of the estimated expected losses, which account for as much as 90 percent of the expected losses of these important real estate companies. With the rapid development of the real estate industry, the real estate market risk appears. In recent years, the real estate company defaults frequently, the default risk increases, after the measure the real estate company joint default probability is bigger, the system default risk is higher. Finally, this paper puts forward the relevant countermeasures: first, standardize the financing structure of real estate companies, reduce the risk of system default; second, strengthen the real estate financial supervision to prevent the risk of system default; third, Establish the system default risk warning mechanism of real estate companies, identify the important institutions of the system.
【學(xué)位授予單位】：河北大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類號(hào)】：F299.233.4

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