我国证券业系统性风险测度及防范对策——以上市券商为例

Measurement of Systematic Risk Spillover Effect in China’s Securities Industry and Its Preventive Measures——Take Listed Securities Firms as an Example

防范化解证券行业系统性风险是有效化解系统性金融风险的重要环节。论文基于分位数回归法构建CoVaR模型(金融系统性风险),以上市证券公司为研究对象,选取上市券商月收益率等可观测数据进行测度,分析评价证券行业系统性风险的来源、影响因素、影响程度及风险溢出的效应。通过推进金融业供给侧结构性改革,规范设计灵活适用的量化分析工具,改进完善三位一体的监管框架及监管模式,以大监管理念及方法防止风险的全域外溢。

Preventing and resolving the systemic risk of the securities industry is an important part of resolving the systemic financial risk effectively.Based on the quantile regression method,the CoVaR model is constructed.Taking listed securities companies as the research object,the monthly returns of listed securities firms are selected to measure and evaluate the sources,influencing factors,degree of influence and Risk Spillover Effects of systemic risk in the securities industry.By pushing forward the structural reform of the supply side of the financial industry,standardizing the design of flexible and applicable quantitative analysis tools,improving and perfecting the Trinity regulatory framework and regulatory model,we can prevent the global spillover of risks with the concept and methods of large-scale regulation.