摘要
快速发展的资管市场创新出大量的交叉性金融产品和业务,使金融各行业的联系愈加密切和复杂化,由此产生的交叉性风险也越来越值得警惕。利用分层阿基米德Copula模型,选取2010年1月1日至2017年6月30日之间的交易数据,刻画中国的银行、证券、保险、信托和基金五个金融子行业间的尾部风险相依关系,捕捉它们在极端事件下可能产生的危害。实证结果表明,中国五个金融子行业的尾部风险存在明显的分层相依结构,不同行业间的风险相依程度存在明显差异,且风险相依性整体偏高,因此系统性金融风险不容忽视。业内机构需提高风险自律意识,监管部门应建立风险预警机制,实施统筹、分层、突出重点的行业监管。
The rapidly developing capital management market has produced a variety of cross financial products and services,making the connections between various financial sub-industries closer and more complex. In this context,it is necessary to be vigilant on the risks arising from such financial products and services. Using the hierarchical Archimedean copula,this paper selects the data from January 1,2010,to June 30,2017,to analyze the tail risk dependence between five financial sub-industries（banking,securities,insurance,trust,and funds） and to identify the hazards of such financial products and services in extreme conditions. According to the empirical results,there exists an obvious hierarchical dependence structure in relation to the tail risks in the five financial sub-industries,the degree of risk dependence obviously varies among the five financial sub-industries,and the overall degree of risk dependence is relatively high. Therefore,systematic financial risk should not be ignored. Financial institutions should strengthen their consciousness of risk prevention,while regulatory authorities should build a risk pre-warning mechanism,undertake holistic and hierarchical industrial supervision,and provide prominence to the key points.
出处
《金融经济学研究》
CSSCI
北大核心
2017年第6期23-33,共11页
Financial Economics Research
基金
国家自然科学基金项目(61673221)
江苏省重点序列学科应用经济学(苏政办发[2014]37号)
