基于Logistic模型的系统性金融风险研究

Research of Systemic Financial Risk Based on Logistic Model

通过对现有关于系统性金融风险测度模型的总结、提炼与改进,依靠历史数据的实证分析找出适合我国现实情况的预警解决方案,力求使金融危机从一个突发的风险事件演变为一个监管机构可以日常持续监控的对象。应用Logistic分析模型进行指标的量化分析,技术指标选取通货膨胀率、总储备额、进出口额等,通过进一步的比较找到对预测我国系统性金融风险关联程度最高的技术指标,建立经过改良的定性分析模型。在这一模型的基础上,政府部门可以通过关注与系统性风险有关的指标变动情况来判断金融危机的发生概率,进而采取适当的应对之策,避免因应对危机的仓促性带来不必要的损失。

This paper aimed to make a summary and refining of the existing systemic financial risk measure model and tried to find out an early warning model which suits for the reality of our country that relies on historical data of the empirical analysis. The research wanted to make every effort to make the financial crisis change from a sudden event to a daily object which could be continuous monitored. The Logistic analysis model was used to make quantitative analysis of the technical indicators which involve the inflation rate, total reserves, import and export, etc. By further comparison, we came up with the high levels correlation technical indicators and modified qualitative analysis model to predict systemic financial risk in our country. On the basis of the model, the related government department can focus on the change of systemic risk indicators to determine the probability of financial crisis and then take the appropriate response to avoid the unnecessary loss.