我国金融机构风险溢出研究——以中国A股银行业为例  

Research on Risk Spillovers of Financial Institutions in China—Taking China’s A-Share Banking Industry as an Example

作　　者：陈君怡 

机构地区：[1]贵州大学经济学院,贵州 贵阳

出　　处：《运筹与模糊学》2023年第6期6119-6129,共11页Operations Research and Fuzziology

摘　　要：金融业的平稳运行是有效服务经济的前提。本文通过对系统性金融风险和风险的度量方法进行研宄,分析了风险管理工具风险价值VaR模型及其衍生出来的CoVaR模型。然后,选择CoVaR模型和分位数回归方法,对我国银行业系统性风险及其溢出效应进行研究,测算了各银行自身风险价值,及其与银行业整体之间的双向风险溢出效应。根据实证分析的结果,第一,各银行的在险价值与其对银行业的风险溢出效应并没有明显的相关关系;第二,我国大部分银行的风险水平低于银行业的风险水平,国有商业银行自身风险普遍相对低于股份制银行和城市商业银行;第三,各银行与银行业之间的双向风险溢出效应没有明显的相关。The smooth operation of the financial industry is a prerequisite for effectively serving the economy. This paper studies the systematic financial risks and risk measurement methods, and analyzes the risk management tool Value at risk VaR model and its derivative CoVaR model. Then, the CoVaR model and Quantile regression method are selected to study the Systematic risk and its spillover effect of China’s banking industry, and the Value at risk of each bank itself and the two-way risk spillover effect between each bank and the banking industry as a whole are measured. According to the results of empirical analysis, firstly, there is no significant correlation between the value at risk of each bank and its risk spillover effect on the banking industry. Secondly, the risk level of most banks in China is lower than that of the banking industry, and the risks of state-owned commercial banks themselves are generally relatively lower than those of joint-stock banks and urban commercial banks. Thirdly, there is no significant correlation between the bidirectional risk spillover effects between banks and the banking industry.

关 键 词：风险溢出 CoVaR模型 银行业 

分 类 号：F83[经济管理—金融学]