系统性金融风险度量研究综述  

The Measurements of Systemic Financial Risk: A Literature Review

作　　者：尹豪 YIN Hao

机构地区：[1]中国银保监会博士后科研工作站 [2]清华大学五道口金融学院博士后流动站

出　　处：《金融监管研究》2020年第12期32-49,共18页Financial Regulation Research

基　　金：国家社会科学基金重大课题“中国消费金融的发展、风险与监管研究”(编号:16ZDA033);教育部人文社会科学研究青年基金项目“去杠杆背景下家庭过度负债的识别、后果及其影响因素研究”(编号:18YJC790181);北京市教育委员会科研计划项目“北京地区普惠金融发展现状及其福利效应研究”(编号:SM201910037006)的资助。

摘　　要：近年来,国际经济金融形势的不确定性显著增加,在危机持续影响和经济面临严峻挑战的背景下,防控金融风险、保障金融安全应当受到长期重视。本文从尾部度量、前瞻性风险度量、金融周期、网络关联和动态随机宏观经济模型等方面,对系统性金融风险度量的相关文献进行回顾后提出,后续研究应更加注重冲击的异质性分析,更多关注金融机构之间的关联性,并努力克服数据可得性、模型方法的内生性和局限性问题。而在后续实践中,对系统性金融风险的度量应该从多个角度展开持续不间断的监测,以便根据金融体系不断演变的结构变化做出及时、恰当的调整。In recent years,the uncertainty of international economic and financial environment has increased significantly.In the context of the continuing impacts of the crisis and severe challenges,long-term attentions should be paid to the managements of financial risk and the protections of financial security.This paper reviews the literatures on systemic financial risk from the aspects of tail measures,forward-looking risk measurements,financial cycles,network measures and dynamic stochastic macroeconomic models.It is suggested that the follow-up research should pay more attention to the heterogeneity analysis of shocks and the correlations between financial institutions.Scholars should try to overcome the problems of data availability,endogenous and limitations of the models.In practice,the measurements of systemic financial risk should be continuously monitored from multiple perspectives in order to make timely and appropriate adjustments in response to the evolving structural changes in the financial system.

关 键 词：系统性风险 金融危机 审慎监管 金融周期 网络关联 

分 类 号：F830[经济管理—金融学]