金融系统性风险衡量研究最新进展述评被引量：30

Review of the Latest Research on Measuring Financial Systemic Risk

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摘要金融系统性风险是业界、学界及监管机构关注的焦点。本次金融危机的爆发更加凸显了对系统性风险进行衡量和监管的重要性。本文回顾了国际上对系统性风险衡量的最新研究成果,对基于财务报表数据、基于资产相关性、在险价值和宏观压力测试等衡量方法进行了比较和分析,并给出了研究展望。 Financial systemic risk is the major concern for the industry, the academia and the regulators. Recent global financial crisis once more highlights the importance to measure and regulate systemic risk. The paper re- views the latest research on measuring systemic risk and compares three measuring methods： method based on balance - sheet data, method based on default correlation, VaR and macro - stress test. Future research direc- tion on measuring systemic risk is summarized at the conclusion.

作者刘吕科张定胜邹恒甫

机构地区中央财经大学中国经济与管理研究院

出处《金融研究》 CSSCI 北大核心 2012年第11期31-43,共13页 Journal of Financial Research

基金教育部科技创新工程重大项目培育资金项目资助(No.708015)

关键词系统性风险衡量金融稳定在险价值违约相关系性 Systemic risk measure, Financial stability, Value at risk, Default correlation

分类号 F830.1 [经济管理—金融学]

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