摘要
文章基于系统性风险指数SRISK方法,结合我国金融机构的实际上市情况,利用DCC-GARCH模型,分别推导了A股、H股的长期资本短缺公式,并计算SRISK实际数值。然后以上市银行、保险、证券等金融机构等的交易数据为样本,确定了金融机构系统重要性的排名,并将其与基于同一分析框架的MES分析法进行对比分析。结果发现,度量我国金融机构的系统重要性,需要在MES分析的基础上,结合动态相关性和波动性,根据SRISK模型法评估排名。我国金融机构的系统重要性层次分明,保证了监管机构宏观审慎的有效性。
Based on the assessment of systemic risk index SRISK, with combination of the actual listing in the stock exchang of the Chinese financial institutions and using DCC-GARCH model, this paper deduces the long-term shortage of capital formula of A-shares and H-shares and calculates the actual SRISK value. Then banks, insurances, and securities are listed as samples of transactions to determine the systemic importance of financial institutions ranking and compare the analysis with the results based on MES analysis. Results show that measuring the systimic importance of the China＇ s fiancial institutions and assessing their rankings need to be done on the basis of MES analysis and with combination of dynamic correlation and volatility, and according to SRISK model method as well. The systemic importance of China＇s financial institutions is clearly structured to ensure the effectiveness of the macro-prudential regulatory body.
出处
《统计与决策》
CSSCI
北大核心
2017年第8期146-149,共4页
Statistics & Decision
基金
国家社会科学基金青年项目(12CJY108)
