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dc.contributor.advisor张宇
dc.contributor.author陆永志
dc.date.accessioned2018-12-05T01:43:36Z
dc.date.available2018-12-05T01:43:36Z
dc.date.issued2017-11-01
dc.identifier.urihttps://dspace.xmu.edu.cn/handle/2288/170271
dc.description.abstract2008年金融危机以来,各国逐渐加强对金融宏观领域的监管,致力于研究系统性风险度量问题。学者们通过构造跨机构和跨国家的系统性风险模型,研究其中的联动效应以及风险溢出问题。在这一背景下,研究我国金融体系的系统性风险刻不容缓。本文致力于研究我国上市商业银行风险度量及风险溢出问题,之所以重点研究上市商业银行,其原因在于商业银行是我国金融机构的主体,研究银行间的系统性风险对我国金融风险的监管以及推行宏观审慎的评估体系政策有着极为重要的意义。 本文选取已上市的14家银行,分为国有大型商业银行,全国性股份制商业银行和区域性城市商业银行三类,利用或有权益分析法(CCA)计算出各个银行的市场价值、资产波动率...
dc.description.abstractSince the financial crisis in 2008, many countries have gradually strengthened the supervision of financial in macro areas. They are committed to the study of systemic risk measurement, cross-institutional structure, cross-country systemic risk model, the comovement effect and risk spillovers. In this background, it is imperative to study the systemic risk of Chinese financial sector. This paper f...
dc.language.isozh_CN
dc.relation.urihttps://catalog.xmu.edu.cn/opac/openlink.php?strText=56819&doctype=ALL&strSearchType=callno
dc.source.urihttps://etd.xmu.edu.cn/detail.asp?serial=61280
dc.subject系统性风险
dc.subject或有权益分析法
dc.subject条件在险价值法
dc.subjectSystemic Risk
dc.subjectCCA
dc.subjectCoVaR
dc.title中国上市银行的系统性风险度量——基于CCA和CoVaR方法
dc.title.alternativeThe Measurement of Chinese Listed Banks’ Systemic Risk——Based on CCA and CoVaR
dc.typethesis
dc.date.replied2017-04-29
dc.description.note学位:经济学硕士
dc.description.note院系专业:王亚南经济研究院_金融硕士
dc.description.note学号:27720141152770


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