如何更早发现“灰犀牛”?基于压力指数法的票据市场风险测度

Risk Measurement in China's Commercial Paper Market and the Early Discovery of ‘Grey Rhinos’

如何更早发现和处置金融市场苗头性风险,对单个金融子市场风险的准确测度和识别提出了更高要求。本文对票据市场风险情况进行全面梳理,建立涵盖信用风险、流动性风险、市场风险及合规风险的11项评价指标体系,借鉴金融市场系统性风险测度相关方法,构建票据市场压力指数,并采用MS-AR马尔科夫区制转移模型对票据市场压力状态进行识别。研究结果表明:票据市场高压状态与近年来票据市场发生的风险事件时间相吻合,能够快速反映事件的冲击,且在设置合理的观测阈值后,能够进一步提升风险事件识别的准确性,为识别和监测票据市场风险提供工具和数据参考,也为其他金融子市场提供借鉴。

Preventing and resolving major financial risks and guarding against systemic risks are among the important objectives proposed at the 19th and 2th CPC National Congresses.Addressing emerging risks in the financial market depends upon the identification of risk events in individual financial market segments.This paper comprehensively reviews the risks of the commercial paper market and establishes an 11-item evaluation index system covering credit risk,liquidity risk,market risk and compliance risk.It draws on the relevant methods of systematic risk measurement in the financial market,constructs a comprehensive stress index for the commercial paper market,and adopts the MS-AR Markov regime switching model to identify the degree of stress in the commercial paper market.The risk index can provides tools and data references for the identification and monitoring of the risk events in the commercial paper market and provide methodological references for other financial market segments.