摘要
基于我国上市商业银行的日度股价数据,采用改进后的AR-GARCH-CoES模型,即将只关注单一分位点上期望损失的CoVaR模型改进为关注尾部损失的均值的CoES模型,度量了我国上市商业银行对整个银行体系的系统性风险。结果表明:大型上市商业银行的自身风险相较于中小型上市商业银行要小;大型上市商业银行对银行系统整体的影响要高于中小型上市商业银行;各上市商业银行的ΔCoES绝对值要高于其ΔCoVaR绝对值,即CoVaR模型低估了上市商业银行的系统性风险。
Based on the daily stock price data of China's listed commercial banks,this paper adopts the modified AR-GARCH-CoES model(which changes from CoVaR model focusing only on with the expected loss at a single quantile to CoES model focusing on mean value of tail loss)to measure the systemic risk of the listed commercial banks in China to the banking system as a whole.The results show that:the risk of large listed commercial banks is smaller than that of small and medium-sized listed commercial banks;the impact of large listed commercial banks on the overall banking system is larger than that of small and medium-sized listed commercial banks;the absolute value ofΔCoES of listed commercial banks is higher than the absolute value ofΔCoVaR,that means,the CoVaR model underestimates the systemic risk of listed commercial banks.
作者
李合龙
邹小露
汪存华
LI Helong;ZOU Xiaolu;WANG Cunhua(School of Economics and Finance,South China University of Technology,Guangzhou 510006,China;School of Economic Management,North China Institute of Aerospace Engineering,Langfang 065000,China;The Belt and Road Initiative Development Institute,Yili Normal University,Yining 835000,China)
出处
《科技与经济》
2021年第3期81-85,共5页
Science & Technology and Economy
基金
国家自然科学基金项目——“HHT关键问题研究及其在股市联动性分析中的应用”(项目编号:71671068,项目负责人:李合龙)成果之一
广东省软科学项目——“粤港澳大湾区科技创新与金融创新协同演化研究”(项目编号:2019A101002009,项目负责人:李合龙)成果之一
“新一代人工智能”重大项目课题——“复杂社会信息网络下的风险感知与智能决策研究”(项目编号:2020AAA0108404,项目负责人:张卫国)成果之一
伊犁师范大学“一带一路”发展研究院重点项目——“‘一带一路’背景下伊犁州与中亚国家经贸合作发展趋势研究”(项目编号:YDYL2020ZD003,项目负责人:李名梁)成果之一。
