摘要
系统性风险指数(SRISK)可以衡量发生系统性风险事件情况下个体机构的预期资本缺口。本文基于该模型,选用2007Q1至2020Q2我国A股市场全部上市金融机构及房地产公司数据,分别采用静态双变量方法及GJR-GARCH-DCC-Montel Carlo方法对SRISK进行测算,并对比二者在实际应用中的差异。研究结果显示:两种方法的测算结果具有一致性,SRISK可以对宏观经济提供危机的早期预警信号,且基于GJR-GARCH-DCC-Montel Carlo方法得出的系统性风险指数预测准确度更高。
SRISK can measure the expected capital shortfall of individual institutions in a systemic event.Based on this model,the data of all listed financial institutions and real estate companies in Chinese market from 2007 Q1 to 2020 Q2 were selected,using the Static Bivariate method and the GJR-GARCH-DCC-Montel Carlo model to calculate SRISK and compare the difference of the two in practical application.The result shows that:The calculation results of the two methods are consistent.SRISK provides early warning signals of distress in indicators of real activity,and the GJR-GARCH-DCC-Montel Carlo method is more accurate.
出处
《投资研究》
CSSCI
北大核心
2021年第6期63-76,共14页
Review of Investment Studies
