期刊文献+

上市银行系统性风险贡献度实证研究

下载PDF
导出
摘要 次贷危机过后各国金融监管机构纷纷开始重视有效的系统性风险测量,以寻求更好的处理危机的方式。本文利用CoVaR理论通过对9家上市银行系统性风险贡献度进行实证测量,通过比较国有银行与股份制银行系统性风险贡献度大小,得出了近些年股份制银行系统性风险贡献度较高的结论。从银行规模、不良资产率以及银行间关联度等方面对该结论进行解释,以期引起监管者的重视。
作者 杨迪
机构地区 河北大学
出处 《消费导刊》 2015年第6期92-92,共1页
  • 相关文献

参考文献2

二级参考文献44

  • 1张瑞锋.金融市场协同波动溢出分析及实证研究[J].数量经济技术经济研究,2006,23(10):141-149. 被引量:28
  • 2Brunnermeier, M. K., and L. H. Pedersen (2007): "Market Liquidity and Funding Liquidity," Princeton University, Working Paper.
  • 3Adrian, T., and H. S. Shin (2008): "Financial Intermediary Leverage and Value at Bisk," Federal Beserve Bank of New York Staff Reports, 368.
  • 4Kyle, A., and W. Xiong (2001): "Contagion as a Wealth Effect," Journal of Finance, 56, 1401-1440.
  • 5Boyson, N. M., C. W. St&hel, and E. M. Stulz (2006): "Is there Hedge FundContagion, NBER Working Paper 12090.
  • 6Chan, N., M. Getmansky, (2006): "Systemic Eisk andHedge Financial Institutions and the Financia and R. M. Stulz. The University of S. Haas, and A. W. Lo Funds," in The Risks of Sector, ed.by M. Carey, Chicago Press: Chicago, IL.
  • 7Adrian, T. (2007): "Measuring Risk in the Hedge Fund Sector," Current issues in Economics and Finance by the Federal Reserve Bank of New York, 13(3), 1-7.
  • 8King, M. A., and S. Wadhwani (1990): "Transmission of Volatility Between Stock Markets," Review of Financial Studies, 3(1), 5-33.
  • 9Forbes, K. J., and R. Rigobon (2002): "No Contagion, Only Interdependence:Measuring Stock Market Comovements, ," Journal of Finance, 57(5), 2223-2261.
  • 10Hamao, Y., R. W. Masulis, and V. K. Ng (1990): "Correlations in Price Changes and Volatility Across International Stock Markets," Review of Financial Studies, 3.

共引文献73

相关作者

内容加载中请稍等...

相关机构

内容加载中请稍等...

相关主题

内容加载中请稍等...

浏览历史

内容加载中请稍等...
;
使用帮助 返回顶部