宏观审慎视角下的系统性金融风险评估研究

Study on the Assessment of Systemic Financial Risk from the Macro-prudential Perspective

宏观审慎管理以防范系统性金融风险为根本目标,其中,量化系统性风险是有效监管的关键之一。本文尝试从系统性金融风险的来源出发,提出了一系列专门用于监测系统性风险的指标和工具,并根据我国实际构建了"宏观+微观"双层次的系统性风险评估框架。在此基础上,本文引入金融压力的概念,通过构造系统性风险压力指数实现对系统性风险的量化评估。

Macro-prudential management aims to prevent systemic financial risk.Quantifying systemic risk is the key to the effective supervi sion.Based on the sources of systemic financial risk,the paper puts forward a series of indicators and tools specifically for monitoring systemic risk and attempts to build a 'macro-plus-micro' assessment framework of systemic risk compatible with the reality of our country.On this basis,it in troduces the concept of financial stress to quantify systemic risk via systemic risk stress indicators.