中国银行业系统性风险监测研究--基于SCCA技术的实现与优化  

A Study on Monitoring Systemic Risk of China's Banking:Implementation and Optimization of SCCA

作　　者：李志辉[1] 李源[1] 李政[2] 

机构地区：[1]南开大学金融学院,天津300071 [2]南开大学经济学院,天津300071

出　　处：《金融研究》2016年第3期92-106,共15页Journal of Financial Research

基　　金：国家社会科学基金重大项目“中国金融监管制度优化设计研究”(批准号:09&ZD037)和“金融风险度量的新理论与新方法及其在中国金融机构的应用研究”(批准号:14ZDB124)的资助

摘　　要：金融危机以来,随着国际金融监管组织、各国监管当局和学术界加强系统性风险监测技术的开发和应用,新方法、新技术不断涌现,SCCA是其中具有代表性的方法之一。本文结合我国银行业实际情况,设计了针对SCCA技术关键环节的优化算法,并采用非参数统计方法估计时变相依函数,提出了新的系统性风险监测指标J-VaR。在此基础上,本文动态监测了后危机时代我国银行业系统性风险的演变过程。研究表明,优化后的SCCA技术具有较好的适用性,时变风险相依结构对系统性风险理论和实证研究至关重要。After the financial crisis,the international financial regulatory organization,national regulatory authorities and academia attach great importance to the development and application of systemic risk monitoring technology,new technology and new methods are constantly emerging,SCCA is one of the representative technology. In this paper,considering the practical situation of China banking,we try to optimize the key steps of SCCA and use non- parametric statistical methods to estimate the time varying dependent function. We also introduce a new systemic risk monitoring indicator： Joint- Value at Risk. On this basis,this paper monitors the evolution process of systemic risk in China banking in the post crisis era dynamically. The research results show,optimized SCCA has good applicability and time varying dependence structure is important to study on systemic risk.

关 键 词：系统性风险 SCCA 风险相依结构 

分 类 号：F832.3[经济管理—金融学] F224