引用本文:韩超, 周兵.基于时变Copula-CoVaR商业银行系统性金融风险溢出分析[J].西南师范大学学报(自然科学版),2019,44(8):72~77
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基于时变Copula-CoVaR商业银行系统性金融风险溢出分析
韩超, 周兵
重庆工商大学 长江上游经济研究中心/会计学院, 重庆 400067
摘要:
为了更加准确捕捉商业银行系统性金融风险溢出过程的动态非线性相依特征,以科学分析商业银行风险负外部性与风险溢出强度,通过时变Copula模型计算VaR,CoVaR和△CoVaR,研究了浦发、华夏、民生、招商、兴业、中信6个商业银行个股指数和中证800银行业指数间的商业银行系统性金融风险溢出问题.结果表明:时变模型对于△CoVaR的刻画相较于静态模型更为准确、灵敏,且计算得出的CoVaR均为负值,分析比较△CoVaR,得出风险溢出强度从强到弱依次为:中信银行、兴业银行、华夏银行、民生银行、浦发银行、招商银行.研究为风险监管资源分配、监管对象确定提供了一定依据.
关键词:  时变Copula  CoVaR  CoVaR  系统性金融风险
DOI:10.13718/j.cnki.xsxb.2019.08.013
分类号:F830
基金项目:重庆长江上游经济研究中心重大项目(CJSYTD201711);重庆市社科联基金项目(2018QNJJ18);重庆工商大学人才培养项目(1855032).
Analysis of Systematic Financial Risk Spillovers of Commercial Banks Based on Time-Varying Copula-CoVaR
HAN Chao, ZHOU Bing
National Research Center for Upper Yangtze Economy/Accounting College, Chongqing Technology and Business University, Chongqing 400067, China
Abstract:
In order to seize the characteristic of dynamic-nonlinearly dependence of the process of systematic financial risks' spillovers of commercial banks more accurately, and to make a scientific analysis of the negative externality and risk spillover intensity of commercial banks' risks, VaR, CoVaR and △CoVaR have been computed in this paper by means of time-varying Copula models and the problem been studied of systematic financial risks' spillovers between six commercial banks individual index, CITIC Bank, CIB, HXB, CMBC, SPDB and CMB included, and China Securities 800 Banking Index. The results show that for the description of △CoVaR, dynamic models are more accurate and sensitive, all the values of CoVaRs are negative, the risk spillover intensity ranks as CITIC Bank > CIB > HXB > CMBC > SPDB > CMB. As can be seen, the research in this paper can provide basis for risks supervision resources allocation and supervision objects determination.
Key words:  time-varying Copula  CoVaR  CoVaR  systematic financial risks
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