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信用风险转移对金融系统风险影响的实证研究 被引量：3

An Empirical Study on the Effect of Credit Risk Transfer on the Financial Systemic Risk
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摘要 本文采用联合超值数描述金融系统风险,构建动态系统模型分析信用风险转移对金融系统风险的影响。对欧洲信用风险转移市场的经验分析结果显示,信用风险转移对金融系统风险具有双重影响,而且金融系统风险与信用风险转移之间的关系存在时间差异。相关结论有助于监管机构完善金融系统风险度量方法和监管机制。 This paper uses the Coexceedance to describe the financial systemic risk,and builds dynamic system model to analyze the effect of credit risk transfer on the financial systemic risk.Study on the European CRT market shows that the credit risk transfer has a double impact on financial systemic risk,and the relationship of financial systemic risk and credit risk transfer has temporal difference.Relevant conclusions will help regulators to improve the measurement methods and monitoring mechanisms.
作者 丁东洋 周丽莉
机构地区 南昌大学公共管理学院 南昌大学经济管理学院
出处 《南方金融》 北大核心 2011年第9期21-25,共5页 South China Finance
基金 江西省高校人文社会科学研究规划项目<开放经济下信用风险转移对金融稳定的影响研究>(项目编号:JJ1138) 天津社科规划项目<宏观统计数据可靠性评估方法研究>(项目编号:TJTJ10-651) 全国统计科研计划项目<小域估计理论及其在我国统计调查中的应用>(项目编号:2009LZ020)的资助
关键词 金融系统风险 信用风险转移 联合超值数 动态系统模型 Financial Systemic Risk Credit Risk Transfer Coexceedance Dynamic System Model
分类号 F830 [经济管理—金融学] F224 [经济管理—国民经济]
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参考文献15

  • 1James C.. Some Evidence on the Uniqueness of Bank Loans[J]. Journal of Financial Economics, 1987, 19 (2).
  • 2Wagner W.. The Liquidity of Bank Assets and Banking Stability[J]. Journal of Banking and Finance, 2007, 31 (1).
  • 3Marsh I. W.. The Effect of Lenders' Credit Risk Transfer Activities on Borrowing Firms' Equity Returns[R]. Research Discussion Papers 31, Bank of Finland, 2006.
  • 4Jiangli W., M. Pritsker and P. Raupach. The Impact of Securitization on US Bank Holding Companies[R]. Working Paper, FDIC, 2008.
  • 5张明.透视CDO：类型、构造、评级与市场[J].国际金融研究,2008(6):40-48. 被引量：55
  • 6赵俊强,韩琳,李湛.信用风险转移与银行系统表现——基于美国信用衍生品交易市场面板数据的实证研究[J].金融研究,2007(05A):147-160. 被引量：47
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二级参考文献30

  • 1Allen F. and Carletti E. , 2005 ," Credit Risk Transfer and Contagion" ,working paper.
  • 2Awing S. , 2002, "Playing Hardball: Relationship Banking in the Age of Credit Derivatives", mimeo, University of Amsterdam, http ://ideas. repee, org/p/fam/rpseri/rp49, html.
  • 3Bank for International Settlements, 2004, 2005, "Credit Risk Transfer", 31 -51.
  • 4Berger A. , 1995, "The Relationship between Capital and Earnings in Banking", Journal of Money, Credit, and Banking,27(2), 432 -456.
  • 5British Bankers' Association, 2006, "Credit Derivatives Report 2006".
  • 6Cebenoyan A. S, and Strahan P E. , 2001, " Risk Management, Capital Structure and Lending at Banks", Wharton School Center for Financial Institutions Working Paper No. 02 -09, 1 -31.
  • 7Comptroller of the Currency Administrator of National Banks, "OCC's Quarterly Report on Bank Derivatives Activities".
  • 8I Deutsche Bundesbank, 2004, "Credit Risk Transfer Instruments : Their Use by German Banks and Aspects of Financial Stability", Monthly Report, April, 27 -44.
  • 9Finnerty J. D. , 2000, The Pricewaterhouse Coopers Credit Derivatives Primer[M], Financier, Inc.
  • 10Gorton G. ,and Pennacchi G. , 1995, "Banks and Loan Sales: Marketing Non-marketable Assets", Journal of Monetary Economics, 35 ( 3 ), 389 - 411.

同被引文献26

引证文献3

二级引证文献3

南方金融
2011年 第9期

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