基于ARCH模型的银行系统性风险度量研究

Bank systematic risk measurement based on ARCH model

银行系统性风险形成的因素各种各样,其中主要包含:政策风险、经济周期性波动风险、利率风险、购买力风险、汇率风险等。银行指数是一个综合性的指标,它可以很好地反映出银行业的风险状态,也可以体现银行应对系统性风险的能力。本文运用ARCH模型,对银行指数月收益率进行了数据处理分析,对银行的系统性风险进行了实证分析。

The factors that make up the systemic risk of banks are various,including policy risk,economic cyclical volatility risk,interest rate risk,purchasing power risk,exchange rate risk and so on.Bank index is a comprehensive index,which can well reflect the risk state of banking industry and the ability of banks to deal with systemic risks.In this paper,the ARCH model is used to analyze the monthly rate of the bank index,and the systematic risk of the bank is empirically analyzed.