摘要
随着我国经济的发展,金融控股公司的形式逐渐引入国内,但是多元化经营使金融控股公司所面临的风险复杂化。在此背景下,本文采用经济资本来解决金融控股公司风险类型和业务交叉的风险合并问题。在一定假设的基础上将TailVaR风险测量函数应用到我国金融控股公司的风险管理上,进而估算出我国金融控股公司的经济资本量。结果表明我国证券保险业所面临的风险普遍高于银行业,而金融控股公司的经营形式较好的分散了各个子公司的经营风险,这为我国金融控股公司经营形式的推广提供了依据。
As China＇s economic development, the form of financial holding company is gradually introduced into our country, which, however, makes the risks of diversified financial holding companies complex. On the basis of certain assumptions, this paper first applies TailVaR, a risk measurement function, to risk management of financial holding companies, and then estimates their amount of economic capital. The results show that the risks in China＇s securities insurance industry are generally higher than those in the banking sector, while their operational form effectively disperses the operational risks of their subsidiaries, which provides a basis for China＇s financial holding companies to promote their operational forms.
出处
《系统工程》
CSSCI
CSCD
北大核心
2012年第11期37-42,共6页
Systems Engineering
基金
教育部"新世纪优秀人才支持计划"项目(NCET-09-0329)
国家社会科学基金重点资助项目(12AJL007)
湖南省社会科学基金资助项目(11YBA006)
湖南省自科基金资助项目(S2011J50431510)
