【摘要】 全球金融危机、英国公投脱欧等事件无不冲击着中国银行业,系统性风险的准确预测再一次成为了关注的焦点.随着互联互通程度的增强,网络效应成为了系统性风险研究所必要考虑的因素.完全从网络内部影响的视角,通过计算资产间相关性系数来构建网络,再考虑网络效应推导资产组合理论从而得出新的风险度量公式.之后,选取了10家银行为研究对象,分析了其在2008年1月至2016年6月的风险变化情况.最后,通过对比得出新构建公式预测风险具有准确度高、参考价值大和及时性强等优点.更多还原

【Abstract】 After suffering the drastic global financial crises in 2008,China’s banking industry is experiencing the new turbulence caused by the England referendum event.Predicting the systematic risk precisely turns into the research focus once again.Along with the enhancement of connectivity,network effects become one of the necessity factors when predicting the systematic risks.To this end,this paper constructs the network through the calculation of the correlation coefficients,then derives a new stable measure formula from assets portfolio theory.Furthermore,ten China’s listed banks are selected to do an empirical study,which includes the analyses of static risks and dynamic changes.Finally,approaches comparisons are done to test the efficiency of the new measurement method.更多还原