关于系统性风险度量和预警的模型综述被引量：57

Review of the Measurement and Warning Models of Systemic Risks

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摘要实现对系统性风险的准确度量和预警是控制系统性风险的首要任务,金融危机之前对于系统性风险的度量大部分还是基于宏观经济与金融体系的冲击及联系的角度展开的,对于机构之间、市场之间的相关性度量还很欠缺。本文从模型依托的数据角度出发,梳理基于不同市场数据模型的发展脉络,总结系统性风险度量方法的最新进展,特别是针对在危机后得以广泛发展的相关性度量模型等。 The prime task for limiting systemic risks is to exactly measure and warn the systemic risks. Before the financial crisis, most of the research focused on how the macro economy shocked the financial system, while few of them were interested in the correlation between and among different sectors and markets. This article tried to analyze the latest development of systemic risk measuring method based on the data the models needed, especially for the correlation measurement.

作者朱元倩苗雨峰

机构地区北京大学经济学院中国银监会政策研究局博士后工作站中国银监会统计部

出处《国际金融研究》 CSSCI 北大核心 2012年第1期79-88,共10页 Studies of International Finance

基金教育部人文社会科学研究青年基金(11YJC790015)项目

关键词早期预警网络模型危机联合概率模型条件风险价值模型 Early Warning Network Model JPoD Model CoVaR Model

分类号 F831 [经济管理—金融学]

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参考文献28

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