摘要
本文采用条件在险值CoVaR、边际期望损失MES、金融巨灾风险指标Catfin、SRISK、中国CISS指数,研究了我国44家上市金融机构的系统性金融风险溢出效应及不同时段的演变特征,并比较五种系统性金融风险测度指标在我国的适用性。研究发现:(1)银行、保险和证券的MES和SRISK依次递增;证券、保险和银行的CoVaR依次递增;保险、证券和银行的Catfin依次递减;不同度量方法得到的结果有一定的差异。(2)CoVaR、MES、Catfin和中国CISS具有明显的周期性,其在危机时期风险较高,危机过后呈现向下趋势。(3)中国SRISK自金融危机以来一直呈上升趋势,且银行积累的风险比任何其他金融机构都多。总体来看,一旦发生严重金融危机,银行可能承受最大的资本缺口,而证券公司将承受更大比例的短期损失,从而面临更高的风险。
By using CoVaR,MES,Catfin,SRISK and China CISS index,this paper studies the systemic financial risk spillover effect and the evolution characteristics in different time of periods of 44 listed financial institutions in China.And the applicabilities of the five systemic financial risk measurement indicators are compared.The results show that:(1)The MES and SRISK of banking,insurance and securities increase successively;and there are differences in the results according to the measurement methods.(2)CoVaR,MES,Catfin and China CISS bear obvious periodicity and undergo high risk during the financial crisis,presenting downward trend after crisis.(3)China's SRISK has been on the rise since there are financial crisis,and banks have accumulated more risks than any other financial institutions.Overall,in the event of a severe financial crisis,banks may suffer the largest capital gap,and securities companies will suffer a greater proportion of short-term losses and face higher risks.
作者
欧阳资生
杨希特
Ouyang Zisheng;Yang Xite(School of Monetary and Finance,Hunan University of Technology and Business,Changsha 410205,Hunan,China)
出处
《金融发展研究》
北大核心
2020年第10期13-19,共7页
Journal Of Financial Development Research
基金
国家社会科学基金重点项目“网络舆情影响下的金融系统性风险的度量与预警研究”(17ATJ005)
湖南省研究生科研创新重点项目“纳入网络舆情指数的系统性金融风险预警方法及应用研究”(CX20190884)。
