本文選題：系統(tǒng)風(fēng)險(xiǎn)　切入點(diǎn)：風(fēng)險(xiǎn)溢出效應(yīng)　出處：《吉林大學(xué)》2017年碩士論文　論文類型：學(xué)位論文

【摘要】：在全球金融體系逐漸趨于一體化的今天,系統(tǒng)性金融風(fēng)險(xiǎn)的爆發(fā)頻率有所增加,因此對(duì)系統(tǒng)性金融風(fēng)險(xiǎn)的研究一直是經(jīng)濟(jì)學(xué)者們探討的重點(diǎn)。隨著度量金融風(fēng)險(xiǎn)理論的不斷提出,對(duì)系統(tǒng)性風(fēng)險(xiǎn)的研究已經(jīng)從整體細(xì)分到區(qū)域。本文在此背景下,測(cè)量當(dāng)突發(fā)事件發(fā)生時(shí),銀行、證券、保險(xiǎn)三個(gè)金融市場(chǎng)之間風(fēng)險(xiǎn)溢出效應(yīng)變化情況。在以往的研究成果中,對(duì)于系統(tǒng)性金融風(fēng)險(xiǎn)的度量經(jīng)歷了定性到定量的分析過程。提出了Va R(在險(xiǎn)價(jià)值)概念來度量金融風(fēng)險(xiǎn)大小。在之后的發(fā)展中該方法被逐漸完善,相繼出現(xiàn)了CAVia R方法以及Co Va R方法,其中Co代表著條件性和傳染性,從度量模型的發(fā)展過程也可以看出系統(tǒng)性風(fēng)險(xiǎn)的研究從單個(gè)市場(chǎng)轉(zhuǎn)到了市場(chǎng)之間的風(fēng)險(xiǎn)聯(lián)動(dòng)效應(yīng)上。但在對(duì)于金融時(shí)間序列數(shù)據(jù)的處理和刻畫方面,模型的選擇仍然有待完善。本文選擇構(gòu)建EGARCH-POT-Copula模型,來測(cè)量三個(gè)市場(chǎng)間的Co Va R值(聯(lián)動(dòng)Va R),即某一市場(chǎng)對(duì)其他金融市場(chǎng)的風(fēng)險(xiǎn)聯(lián)動(dòng)值。模型運(yùn)用中發(fā)現(xiàn),EGARCH模型對(duì)刻畫收益率序列的非對(duì)稱性具有良好的擬合效果,同時(shí)對(duì)于殘差項(xiàng)的尖峰厚尾非正態(tài)性我們采用極值理論中的POT模型進(jìn)行擬合,效果良好,從而得出三個(gè)子市場(chǎng)各自的Va R值。最后,引入數(shù)學(xué)領(lǐng)域中可以靈活表達(dá)非線性、非對(duì)稱關(guān)系的Clayton Copula函數(shù)來測(cè)量各市場(chǎng)間的Co Va R值。本文共分為五個(gè)部分,在第一部分緒論中,簡(jiǎn)要闡述了選題的背景及意義,概述了系統(tǒng)性金融風(fēng)險(xiǎn)以及EGARCH-POT-Copula模型的發(fā)展歷史。在第二部分本文從理論分析角度分別闡述了三個(gè)市場(chǎng)系統(tǒng)性風(fēng)險(xiǎn)產(chǎn)生的原因,共同的因素包括政策制度不完善、金融市場(chǎng)不發(fā)達(dá)等。對(duì)市場(chǎng)間風(fēng)險(xiǎn)傳導(dǎo)機(jī)制進(jìn)行了理論分析,包括直接傳導(dǎo)機(jī)制的三種渠道:融資風(fēng)險(xiǎn)渠道、支付環(huán)節(jié)、資產(chǎn)負(fù)債渠道,以及間接傳導(dǎo)因素羊群效應(yīng)和市場(chǎng)間業(yè)務(wù)趨同現(xiàn)象。第三部分構(gòu)建EGARCH-POT-Copula模型。第四部分選取了2007年至2017年申銀萬國二級(jí)行業(yè)數(shù)據(jù)進(jìn)行實(shí)證研究得出的結(jié)果表明,第一,銀行業(yè)對(duì)證券業(yè)的溢出風(fēng)險(xiǎn)值最大,表明銀行業(yè)發(fā)生突發(fā)事件時(shí)對(duì)證券業(yè)的影響最大,并且證券業(yè)對(duì)銀行的溢出風(fēng)險(xiǎn)值也明顯高于對(duì)保險(xiǎn)業(yè),說明銀行證券兩個(gè)子市場(chǎng)之間的風(fēng)險(xiǎn)聯(lián)動(dòng)效應(yīng)最強(qiáng)。第二,我們注意到雖然目前保險(xiǎn)業(yè)對(duì)其他兩個(gè)市場(chǎng)的溢出風(fēng)險(xiǎn)值遠(yuǎn)遠(yuǎn)小于銀行業(yè),但是隨著我國保險(xiǎn)市場(chǎng)規(guī)模的擴(kuò)大,保險(xiǎn)業(yè)資本金逐漸開始在其它金融子市場(chǎng)中活躍,因此我們提出對(duì)保險(xiǎn)業(yè)溢出風(fēng)險(xiǎn)也要進(jìn)行重點(diǎn)觀測(cè),嚴(yán)加防范。第五部分本文根據(jù)實(shí)證分析的結(jié)論給出關(guān)于監(jiān)管市場(chǎng)間風(fēng)險(xiǎn)溢出效應(yīng)的政策建議:基于風(fēng)險(xiǎn)溢出效應(yīng)的存在性,穩(wěn)定金融市場(chǎng)的前提是要對(duì)風(fēng)險(xiǎn)傳導(dǎo)渠道進(jìn)行關(guān)注。當(dāng)某一市場(chǎng)爆發(fā)系統(tǒng)性風(fēng)險(xiǎn)危機(jī)時(shí)其他金融子市場(chǎng)應(yīng)做出迅速應(yīng)對(duì)措施,最大程度降低風(fēng)險(xiǎn)的傳染。在預(yù)防危機(jī)方面我們要重點(diǎn)跟蹤金融系統(tǒng)中重要商業(yè)銀行的系統(tǒng)性風(fēng)險(xiǎn),嚴(yán)防銀行出現(xiàn)極端情況后向其他市場(chǎng)傳導(dǎo)風(fēng)險(xiǎn)。同時(shí)要循序漸進(jìn)地推行混業(yè)經(jīng)營,加強(qiáng)宏觀審慎監(jiān)管,避免因風(fēng)險(xiǎn)溢出效應(yīng)加大引起的系統(tǒng)性金融危機(jī)。綜上所述,本文運(yùn)用極值理論中的POT模型與Copula函數(shù)結(jié)合針對(duì)我國金融子市場(chǎng)之間的系統(tǒng)性風(fēng)險(xiǎn)溢出效應(yīng)進(jìn)行分析,得出了以下結(jié)論:當(dāng)某一市場(chǎng)爆發(fā)系統(tǒng)性風(fēng)險(xiǎn)危機(jī)時(shí)對(duì)其他金融市場(chǎng)會(huì)產(chǎn)生沖擊,風(fēng)險(xiǎn)的外溢會(huì)使危機(jī)在短時(shí)間內(nèi)迅速蔓延。加強(qiáng)金融系統(tǒng)性風(fēng)險(xiǎn)危機(jī)的監(jiān)控與預(yù)防是金融市場(chǎng)穩(wěn)定發(fā)展的重要條件。
[Abstract]:In the global financial system gradually integration today, increased systemic financial risk outbreak frequency, so the research on the system of financial risk has been the focus of economic scholars. With the financial risk measurement theory being put forward, the study of systemic risk to the region as a whole has been subdivided. In this context, measurement when emergencies occur, banking, securities, insurance between the three financial market risk spillover effect changes. In previous research, the systemic financial risk measurement through the analysis of qualitative and quantitative is proposed. The Va R (value at risk) to measure the financial risk the size. After the development is gradually improved, there have been CAVia R Co Va method and R method, in which Co represents conditional and contagious, from the development process measurement model can also be The research of systematic risk transfer from single market risk linkage effect between the market. But in the processing and characterization of financial time series data, model selection is still to be improved. This paper chooses to build EGARCH-POT-Copula model, to measure the market between the three Co Va R (Va R, the linkage) other financial market linkage risk of a market value. That model application, EGARCH model has good fitting effect on depicting the asymmetry of the return series, while the peak thick tail of residuals from non normality we adopt POT model of extreme value theory in the fitting effect is good, so that the three sub markets the Va value of R. Finally, the flexible nonlinear expression can be introduced in the field of mathematics, asymmetric relationship between the Clayton Copula function to measure the market between the Co Va R value. This paper is divided into five parts, In the first part of the introduction, briefly describes the background and significance of the topic, an overview of the system of financial risk and EGARCH-POT-Copula model of development history. In the second part of this paper illustrates the three market risk causes, common factors include the policy system is not perfect, the underdevelopment of financial markets. The market risk conduction mechanism is analyzed, three kinds of channels, including direct transmission mechanism: financing channels, payment links, asset liability channel, and the indirect conduction factors of herding and market business convergence. The third part is the construction of the EGARCH-POT-Copula model. The fourth part is from 2007 to 2017 two SW level industry data the empirical research results show that the first, spillover risks of the banking industry on the securities industry, the largest value, suggest that the banking industry had burst Impact on the securities industry's biggest event, and the securities industry to overflow bank's risk value is significantly higher than that of the insurance industry, the strongest risk linkage effect between the two sub bank securities market. Second, we note that although spillover risk in the insurance industry at present on the other two market is far less than the value of the banking industry, but with the expansion of the scale of China's insurance market, capital insurance industry gradually became active in other financial markets, so we put forward to the insurance industry spillover risks should focus on observation, to guard against. The fifth part of this paper is given according to the conclusions of Empirical Analysis on the Risk Spillover Effect between market regulatory policy recommendations: the existence of the Risk Spillover Effect Based on the premise of the stability of financial markets is to focus on the risk conduction channels. When a market systemic risk crisis when other financial sub market should be Make rapid measures to minimize the risk of infection in the prevention of the crisis. We should focus on tracking the systemic risk of commercial banks in the financial system, the bank to prevent the extreme situation to other market transmission risk. At the same time to gradually carry out the mixed operation, strengthen macro prudential supervision, to avoid the risk of spillover effects increase system caused by the financial crisis. In summary, this paper uses POT model and Copula function in extreme value theory to analyze the combination between China's financial market system risk spillover effect, draws the following conclusions: when a market systemic risk crisis will have an impact on other financial markets, Risk Spillover will make the crisis spread rapidly in a short time. To strengthen the monitoring and prevention of the risk of financial crisis system is the important conditions for the stable development of the financial market.

【學(xué)位授予單位】：吉林大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類號(hào)】：F224;F832.5

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