Dynamic Monitoring of Systematic Risk of China Financial Institutions——Based on CCA and Dynamic Factor Copula Model

Abstract

Abstract:

This paper uses contingent claim analysis and dynamic factor copula model to study the systematic risk of financial institutions from January 2008 to March 2016.The findings are as follows: (1) The credit spread reveals the dynamic changes of the single financial institution's default risk, which was at a high level during the subprime crisis and has risen again since 2015. The risk was at its highest in securities companies, followed by insurance companies,and trust companies,and at its lwest in banks. (2) Simulation of the systematic risk index reflects the systematic risk of financial institutions. During the second half of 2009 to the end of 2014 the systematic risk was at its highest. It is found that the higher risk of default in a single financial institution does not mean that the systematic risk is high, which depends on the dependence structure of financial institutions. Therefore, when strengthening the macro prudential supervision, regulators should pay attention to the dynamic changes in the dependence structure.

Key words: Systematic Risk, Contingent Claim Analysis, Dynamic Factor Copula Model

摘要：

本文结合未定权益分析法和动态因子copula模型研究了2008年1月至2016年3月我国金融机构系统性风险。研究结果表明:(1)基于未定权益分析法计算的信用价差指标较好地揭示了单一金融机构违约风险动态变化,次贷危机期间较高,2015年以来再次升高,具体来看,证券公司最高,保险公司和信托公司居中,银行最低。(2)基于动态因子copula模型计算的系统性风险指标较好地反映了我国金融机构系统性风险演进,2009年下半年至2014年底系统性风险较高,样本期间内金融机构在系统重要性上没有显著差异。比较发现单一金融机构违约风险较高,并不意味着系统性风险高,这取决于金融机构间相依结构。因此,加强金融机构宏观审慎监管时,应关注金融机构间相依结构动态变化。

关键词: 系统性风险, 未定权益分析法, 动态因子copula模型

CLC Number:

F832

WANG Peihui,YUAN Wei. Dynamic Monitoring of Systematic Risk of China Financial Institutions——Based on CCA and Dynamic Factor Copula Model[J]. .

王培辉,袁薇. 我国金融机构系统性风险动态监测——基于CCA和动态因子copula模型的研究[J]. 财经论丛.

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