业务关联视角下的影子银行交叉传染风险——基于TGC模型的度量  

Cross Infection Risk of Shadow Bankingfrom the Perspective of Business Relations:Metrics Based on the TGC Model

作　　者：方先明[1] 陈楚 

机构地区：[1]南京大学经济学院,江苏南京210093

出　　处：《经济问题》2017年第12期28-37,共10页On Economic Problems

基　　金：国家社会科学基金项目"‘影子银行’交叉传染风险度量及控制机制研究"(14BGL031);中国特色社会主义经济建设协同创新中心资助项目

摘　　要：影子银行业务关联复合使得其内部风险交叉传染,并诱发系统性金融风险,进而危及金融安全。在业务关联的视角下,通过对未贴现银行承兑汇票、小额贷款公司信贷业务、委托贷款与信托贷款等主要影子银行业务交叉运行机制的分析,构建t-Garch-Copula模型对影子银行业务的交叉传染风险进行度量。研究发现,影子银行交叉传染风险的形成源于资金交叉复合导致的信用错配、期限错配与流动性错配;尽管影子银行交叉传染风险总体上可控,但四类主要的影子银行业务均呈现正向的违约相依性;四类影子银行业务间发生风险交叉传染的概率值存在显著差异,交叉风险损失的程度不一。为此,参与者需要基于对影子银行交叉传染风险的考量追求收益,而监管者则应审慎把握监管力度,在防控影子银行交叉传染风险的同时使其活跃金融要素的功能得到充分发挥。The shadow banking business correlation makes the risk crossinfection. If the risk becomes serious,it would induce systemic financial risk,and even endanger the financial security. From the perspective of business relations,the paper analyzes the cross operation mechanism of the main shadow banking,such as the discount bank acceptance bill,the credit business of micro credit company,theentrusted loan and the trust loan. Then the paper constructs t-Garch-Copula model to measure the cross infection risk of shadow banking. The results show that the formation of cross infection risk of shadow banking is due to the credit mismatch,maturity mismatch and liquidity mismatch caused by cross combination of funds. Although the cross infection risk of the shadow banking is generally controllable,the four major shadow banking businesses exhibit positive default dependence. At the same time,there is a significant difference in the probability of cross infection between the four shadow banking business,and the degree of risk loss varies. Therefore,participants should pursue benefits on the consideration of cross infection risk of the shadow banking. Also,regulators should grasp the prudential supervision. While the government prevents cross infection risk of the shadow banking,the function of financial elements must be brought into full play.

关 键 词：影子银行 业务关联 交叉风险 t-Garch-Copula模型 

分 类 号：F830.3[经济管理—金融学]