系统性风险溢出与脆弱度——基于中国上市金融机构尾部风险感知的研究  

Systemic Risk Spillover and Vulnerability--A Study Based on Tail Risk Perceptions among Chinese-Listed Financial Institutions

作　　者：朱子言 刘晓星[1] Zhu Ziyan;Liu Xiaoxing

机构地区：[1]东南大学经济管理学院

出　　处：《金融经济学研究》2023年第2期20-34,共15页Financial Economics Research

基　　金：国家自然科学基金项目(72173018);国家重点研发计划(2021QY2100)。

摘　　要：基于上市金融机构尾部风险感知模型,通过QRNN(神经网络分位数回归)对多种状态下的CoVaR进行估计,结合中国63家上市金融机构2011—2021年的市场数据,研究了各机构的系统性风险溢出与脆弱度及其影响因素。研究结果发现,尾部风险感知模型通过选择非线性模型,能够更好地预测金融机构的尾部风险,且以此测度的风险溢出可以解释系统性风险在具体事件中的累积;与银行和保险类相比,证券类机构和其他类金融机构向金融系统溢出了更多风险,但溢出水平自2015年起已显著降低;通过测度系统溢出度和脆弱度,发现少数机构具有显著的“风险缓释”作用,“吸收”了系统整体风险,而有些机构则具有“反脆弱性”,能够在市场下行时获益;通过个体效应控制前后的回归结果对比,显著影响系统溢出度与脆弱度的是机构自身风险,而非机构的规模、杠杆等。本文构建的模型和研究结论可为监管部门识别重要性金融机构和机构脆弱性测度提供经验佐证。This study estimates the conditional value at risk(CoVAR)in multiple states via quantile regression in a neural network based on the tail risk perception model for listed financial institutions and investigates systemic risk spillover and vulnerability among these institutions and their influencing factors using these estimates in combination with the market data of 63 listed financial institutions in China from 2011 to 2021.The study found that the tail risk perception model can better predict tail risk in financial institutions by choosing non-linear models,and risk spillovers measured in this way can explain the accumulation of systemic risk in specific events.Securities institutions and other types of financial institutions resulted in greater risk spillovers into the financial system than banking and insurance institutions,but the level of spillovers has declined significantly since 2015.By measuring systemic spillover and vulnerability,this study observed that only a handful of financial institutions played a significant role in"risk mitigation"as they"absorbed"overall systemic risk,whereas some financial institutions demonstrated"anti-vulnerability"as they were able to benefit from market downturns.After comparing the regression results before and after controlling for individual effects,this study discovered that systemic spillover and vulnerability were influenced by the institution's own risk rather than its size and leverage.The model developed in this study and its conclusions can provide empirical evidence for regulators to identify necessary measures for financial institutions and institutional vulnerability.

关 键 词：系统性风险 尾部风险感知 风险溢出关联 系统溢出度 系统脆弱度 

分 类 号：F832.5[经济管理—金融学]