我国商业银行系统性高阶矩风险测度研究——基于CCA拓展模型的分析  

Research on Measurement of Systemic Higher-Moment Risk of Chinese Commercial Banks——An Analysis Based on CCA Extended Model

作　　者：赵丹丹[1] 丁建臣[1] Zhao Dandan;Ding Jianchen(School of Banking&Finance,University of International Business and Economics,Beijing 100029,China)

机构地区：[1]对外经济贸易大学金融学院,北京100029

出　　处：《工业技术经济》2018年第5期79-87,共9页Journal of Industrial Technological Economics

基　　金：教育部人文社会科学研究项目(项目编号:13YJA790011);对外经济贸易大学研究生科研创新基金(项目编号:76160601)

摘　　要：本文借鉴Jarrow和Rudd(1982)的方法,利用对数正态密度函数的广义Edgeworth级数展式,将高阶矩风险引入到CCA模型中,并收集我国14家商业银行的财务报表数据和股票市场数据,计算出隐含资产价值波动率、违约距离系列等指标。研究结果表明:系统性风险具有时变性,监管部门要制定具有前瞻性和科学性的监管机制,定期对银行风险进行评估;引入高阶矩的CCA模型具有高度的灵敏性,能够准确地度量系统性风险;国际金融危机对中国银行业具有较强的传染性,监管当局应加强宏观审慎政策,注重金融机构之间和国内外宏观经济环境之间的相互作用;加快转变政府职能,提高宏观调控水平,制定监测系统性风险的政策工具,进一步增强银行体系风险抵御能力。Inspired by Jarrow and Rudd(1982),the paper introduces higher moments(skewness and kurtosis)into the CCA model by using the generalized Edgeworth series expansion of lognormal distribution.Then,the implied volatility and the series of indicators of DD(Distance to Default)for measuring systemic risk are calculated based on the data of stock market and financial statements of 14 Chinese listed banks.The results show that:(ⅰ)since systemic risk is time-varying,the regulatory authorities should develop a proactive and scientific supervision mechanism to periodically evaluate the risk of banks;(ⅱ)CCA model with higher-moments is sensitive and can accurately measure the systemic risk;(ⅲ)the international financial crisis has stronger infect on China s banking sector,so regulatory authorities should strengthen the macro-prudential policy,pay attention to the interaction between the macro economic environment between financial institutions at home and abroad;(ⅳ)we should accelerate the transformation of governmental functions,improve macro-prudential policies,and develop tools of monitor systemic risks to further avoid the risk of the banking system.

关 键 词：高阶矩风险 偏度 峰度 CCA模型 违约距离 隐含资产价值波动率 

分 类 号：F832[经济管理—金融学] F224