摘要
近年来的金融危机凸显了评估一个国家或地区系统性风险传染效应的紧迫性和重要性,是否存在系统性风险成为衡量金融安全的一个重要方面。本文利用矩阵法构建我国银行的风险传染模型,用最小二乘法和相对熵两种方法分析了不同损失水平下单家银行倒闭可能引起的系统性风险传染。结果表明:最小二乘方法下的风险敞口矩阵更符合实际;2005年的银行风险传染过程会发生一到二轮,且受到负面影响的主要是股份制银行;由于银行核心资本的提高,2009年的风险传染则几乎不会发生。
The recently financial crisis highlights the importance and urgency to assess the systematic risk contagion effect of a country or a region, and whether there exist systematic risks or not has become an important aspect of financial security. In this paper, we use the matrix method to establish our country' s banking risk contagion model, and analyze the systematic risk contagion with different loss levels if one bank bankrupts under least square and relative entropy. It shows that the least square fits for reality; the risk contagion would go through one or two rounds in 2005, and furthermore, the banks infected were small and medium - sized joint - equity banks; no contagion happened in 2009 due to the enhancing of core capital adequacy ratio.
出处
《企业经济》
北大核心
2013年第10期175-178,共4页
Enterprise Economy
基金
国家自然科学基金项目“整合风险管理与系统风险管理--微观审慎与宏观审慎相结合的分析框架”(批准号:71203056)
关键词
系统性风险
矩阵法
风险传染
systematic risk
matrix method
risk contagion