CAJ | 학술논문

金融系统性风险是业界、学界及监管机构关注的焦点。本次金融危机的爆发更加凸显了对系统性风险进行衡量和监管的重要性。本文回顾了国际上对系统性风险衡量的最新研究成果，对基于财务报表数据、基于资产相关性、在险价值和宏观压力测试等衡量方法进行了比较和分析，并给出了研究展望。
금융계통성풍험시업계、학계급감관궤구관주적초점。본차금융위궤적폭발경가철현료대계통성풍험진행형량화감관적중요성。본문회고료국제상대계통성풍험형량적최신연구성과，대기우재무보표수거、기우자산상관성、재험개치화굉관압력측시등형량방법진행료비교화분석，병급출료연구전망。
Financial systemic risk is the major concern for the industry, the academia and the regulators. Recent global financial crisis once more highlights the importance to measure and regulate systemic risk. The paper re- views the latest research on measuring systemic risk and compares three measuring methods： method based on balance - sheet data, method based on default correlation, VaR and macro - stress test. Future research direc- tion on measuring systemic risk is summarized at the conclusion.