摘要
金融危机后,市场以及监管机构开始认识到机构之间存在共同的风险敞口,监管开始从微观审慎转变到宏观审慎监管的层面上。在加强宏观审慎监管过程中,如何有效识别系统风险成为重要目标。本文从上市公司的资金链出发,以公布的上市公司财务报表为基础,运用RAS法建立公司之间的资金网络,通过资金的危机传染网络模型,测算整个上市公司系统性风险,并识别系统重要性机构、系统脆弱性机构,为宏观审慎监管提供思路。
The regulators started to realize the risk exposures between organizations after financial crisis. Distinguishing the systematic risk becomes more and more important for macro prudential supervision. Based on public financial statements,we look into the companies’ capital chains and employ RAS to construct a cash net in companies. The article quantifies the systematic risks in listed companies and diagnoses the systematically important institutions and vulnerable institutions which gives some advice on the macro prudential supervision.
出处
《中南财经政法大学研究生学报》
2014年第3期50-56,共7页
Journal of the Postgraduate of Zhongnan University of Economics and Law
