摘要
文章以资产负债表为切入点,从金融杠杆的角度构建基于风险调整的金融资产总供求模型,分析系统性风险(由金融市场外部因素导致)和系统风险(由金融市场内部因素导致)引发金融危机的机制,并重点阐述和论证个别风险系统化导致风险转移、积累和集聚的机制以及金融危机的发生。分析表明,杠杆交易机制使得金融市场具有天然的不稳定和脆弱性;个别风险对冲是金融市场系统风险积累和集聚的源头之一;做市商制度为个别风险对冲转化为系统风险提供了渠道;系统风险和系统性风险导致金融危机的过程和机制相异。
Taking balance sheet as a starting point, this paper build a model about supply and demand of financial assets based on risk-adjusted in the perspective of financial leverage, and analyze how systemic risk （caused by the external factors of financial market） and systematic risk （caused by the internal factors of the financial market） lead to financial crisis. It also dis- cussed how individual risk hedging result in shift, accumulation and agglomeration of risk. The conclusions of this thesis are as follows. The trading mechanism of leverage increases the instability and fragility. Individual hedging is one of the leading factors of systemic risk. Market makers provide a channel for individual hedging converting into systemic risk. The process and mechanism of financial crisis resulting from systemic and systematic risk are different.
出处
《投资研究》
北大核心
2012年第12期113-122,共10页
Review of Investment Studies
基金
教育部哲学社会科学重大课题"全球金融危机对我国产业转移和产业升级的影响及对策研究"(批准号09JZD0018)
全国统计科学研究计划重点项目(2011LZ052)
天津社科规划项目(TJTJ11003)的资助
关键词
金融杠杆
系统性风险
系统风险
金融危机
Financial leverage
Systematic risk
Systemic risk
Financial crisis
