资本市场系统风险评估模型及其实证应用

Evaluation Model of Capital Market's Systemic Risk and it's Empirical Application

本文在提出更全面和更具操作性的系统风险定义基础上,借鉴综合评价法及神经网络等方法,构建了一套适用于系统风险状态评估的模型体系。进而运用此模型对我国资本市场2001年第一季度至2009年第一季度的系统风险状态进行了实证研究,并在综合分析基础上指出我国资本市场建设若能得到持续、稳步推进,则2009年市场将有望维持在较低的系统风险状态。

This paper tries to establish a new model for systemic risk evaluation by using comprehensive evaluation method and neural networks based on a more perfect and practical definition of systemic risk. Then we use this new systemic risk evaluation model to evaluate the risk status of our capital market from 2001 （Q1） to 2009 （Q1） empirically. The results of empirical study and a comprehensive analysis claim that the systemic risk of our capital market would maintain a lower risk level in 2009 if the market would be improved continuously and steadily.