尾部风险研究进展与评述

Research Progress and Review on Tail Risk

由于部分业务、部门或市场的尾部风险溢出不仅会引发金融体系的“多米诺骨牌”效应,而且会对实体经济产生巨大负外部性,因此尾部风险事件极易引起金融市场震荡。鉴于此,识别与监测尾部风险是有效防控系统性金融风险爆发与传染的起点。本文首先以全球金融危机为节点,根据文献厘清尾部风险测度指标在危机前后的脉络。其次,介绍与尾部风险传染密切相关的尾部风险相依、金融关联网络的相关研究进展,在此基础上对尾部风险溢出强度及溢出方向展开讨论。再次,本文归纳了引发尾部风险溢出的宏观、中观和微观层面的影响因素以及尾部风险管理的路径选择。最后,对当前及未来尾部风险相关研究进行评述与展望。据此,力求为我国进一步提高防范化解金融风险能力、统筹推进疫情防控和经济社会发展、促进国民经济稳健运行和良性循环提供借鉴。

The tail risk spillover of some businesses,sectors or markets will not only trigger a‘domino’effect in the financial system,but also generate huge negative externalities to the real economy,so tail risk events can easily cause financial market shocks.In view of this,the starting point of effectively preventing and controlling the outbreak and contagion of systemic financial risks is to identify and monitor tail risks.Taking the global financial crisis as a demarcation point,this paper firstly sorts out the context of the literature related to tail risk measurement before and after the crisis.Secondly,after introducing the related research on tail risk interdependence and financial correlation network,we discuss the spillover strength and spillover direction of tail risk.Thirdly,we summarize the macro,meso and micro factors that cause tail risk and the methods of tail risk management.Finally,based on the reviewed literature,we provide a review and outlook on current and future research on tail risk.We hope that this paper can provide reference for improving the ability to prevent and defuse financial risks,coordinate the promotion of epidemic prevention and economic growth,and promotethe stable operation and virtuous circle of the national economy.