基于CoVaR方法的银行业系统性风险的国际比较研究-金融学专业论文.docxVIP

摘 要 2007 年以来，伴随着金融危机、欧洲主权债务危机的巨大冲击，风险和损 失在全球范围内不断传递，其影响力之广、破坏力之强、传染性之重，使得世界 各国无论是其金融机构还是实体经济，在这两轮危机中都饱受其害。故而研究这 种“牵一发而动全身”的系统性风险，也成为全球各国学者和相关监管部门的关 注的重点。对于中国而言，银行业在整个金融体系中的重要地位，更是决定了我 们在研究系统性风险时，要把侧重点放在银行业系统性风险的测度和监管上。但 是考虑到各国金融环境存在着较大差异，而且在面对不同的经济运行状态时，应 采取的对系统性风险的监管措施，也应存在较大的差异，本文选取中美英三国的 相关历史数据进行分析，试图找出在在面对系统性风险时，各国在经济状况不同 的时期，所应该采取的较为合适的监管措施。 本文在基于 CoVaR 的方法之上，对国际银行业系统性风险进行比较研究，通 过实证所得的中美英国家资产规模最大的 5 家银行的系统风险贡献度数据，在分 别分析研究后，又进行了国家间横向对比。实证结果表明，相较于单个银行对于 银行业整体的系统性风险溢出，一般银行业整体对单个银行的系统性风险溢出会 越大。并且，在经济下行阶段，这种来自于银行业整体的系统性风险对单个银行 的冲击可能会进一步扩大化，需要不断完善相关监管措施，防范风险的深入传播 和扩散。 关键词：商业银行、系统性风险、分位数回归、CoVaR、国际比较 I II II Abstract Since 2007, with the huge impact of the financial crisis, the European debt crisis, risks and losses in the global scope unceasingly, its wide influence and destructive power is strong and infectious, which makes the world both their financial institutions and the real economy, in the two rounds of crisis under its harm. Study this extremely important systemic risk, has become a worldwide scholars and related regulatory focus. For China, the banking industry in the important position in the entire financial system, but also determines the systemic risk in our research, to put emphasis on the banking systemic risk measure and regulation. But considering there are big differences between the financial environment, and, in the face of the different economic running state of systemic risk regulatory measures should be taken, there are many differences between should also, this article selects the relevant historical data analysis of The Three Kingdoms, trying to find out in the face of systemic risk, countries in different period of economy, more appropriate regulatory measures should be taken. In this paper, based on the CoVaR method above, we made a comparative study of international banking systemic risk, which through the demonstration projects of the national assets of China and the United States the largest five risk contribution data bank system. Afte