發(fā)布時間：2018-05-04 08:50

  本文選題：系統(tǒng)性風險 + 股票收益�。� 參考：《東北財經(jīng)大學》2012年碩士論文

【摘要】：起始于2006年的幾乎席卷主要金融市場的美國“次貸危機”,給一直注重銀行收益的人們敲響了警鐘。銀行相繼破產(chǎn)倒閉,“多米諾骨牌”效應使人們更加關注于銀行系統(tǒng)性風險。對于銀行系統(tǒng)性風險的形成與影響,在國內(nèi)外都有待于深入研究。 銀行業(yè)的系統(tǒng)性風險必然會對整體金融體系的健康運行起到關鍵性影響,特別是金融市場并不發(fā)達的發(fā)展中國家。其實,銀行系統(tǒng)性風險從銀行業(yè)發(fā)展初始階段就存在,只是本次“次貸危機”把商業(yè)銀行系統(tǒng)性風險暴露出來,成為了人們關注的焦點。本次危機也警示我們在危機全面爆發(fā)之前,應該利用各種手段或者經(jīng)濟指標來預測風險走勢,借鑒國際的管理、控制經(jīng)驗,結合我國銀行具體情況,對我國商業(yè)銀行系統(tǒng)性風險進行系統(tǒng)、深入的研究。 本文首先介紹了銀行系統(tǒng)性風險的概念和理論成因,簡要回顧了兩個具有代表性的金融市場上出現(xiàn)的銀行系統(tǒng)性風險事件；其次,采取1963年夏普提出的市場模型,通過對金融危機爆發(fā)前后股票市場銀行的收益率與市場收益率相關性,β系數(shù)變化,來觀察銀行系統(tǒng)性風險在危機前后的高低變化；最后,分析我國銀行用于測量系統(tǒng)性風險的β值呈現(xiàn)此次變化的個性原因,并給出相關政策建議。
[Abstract]:The subprime mortgage crisis, which began in 2006, almost engulfed major financial markets, sounded the alarm for people who have been paying attention to bank returns. With the failure of banks, the domino effect makes people pay more attention to the systemic risk of banks. The formation and influence of bank systemic risk need to be deeply studied at home and abroad. The systemic risk of banking is bound to play a key role in the healthy operation of the overall financial system, especially in developing countries with underdeveloped financial markets. In fact, the bank systemic risk exists from the initial stage of the banking development, but this "subprime mortgage crisis" exposes the commercial bank systemic risk and becomes the focus of people's attention. The crisis also warned us that before the crisis broke out, we should use various means or economic indicators to predict the trend of risk, draw lessons from international management and control experience, and combine the specific situation of our banks. The systemic risk of commercial banks in China is studied systematically and deeply. This paper first introduces the concept and theoretical causes of bank systemic risk, briefly reviews the two representative events of banking systemic risk in the financial market, secondly, adopts the market model put forward by Sharp in 1963. To observe the changes of bank systemic risk before and after the financial crisis through the correlation between the stock market bank's return rate and the market rate of return, and the change of 尾 coefficient. Finally, the change of the bank's systemic risk before and after the crisis is analyzed. This paper analyzes the personality reasons of the change of 尾 value used by Chinese banks to measure systemic risk, and gives some relevant policy suggestions.
【學位授予單位】：東北財經(jīng)大學
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F832.33

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本文編號：1842391