CAJ | 학술논문

Systemic CCA方法综合考虑了极端时期机构间违约的尾部风险和相依结构，为度量金融部门系统性风险提供了新的方法。本文基于该模型选取国内五家大型银行A股和资产负债表数据，结合多元极值理论和极值Coupla函数，得到银行日损失数据的多元极值分布，计算出五家银行的联合违约概率和期望损失等风险指标。结果显示目前大银行的系统性违约风险在可控范围内，计算结果为度量政府对金融机构隐性担保额提供了量化依据。
Systemic CCA방법종합고필료겁단시기궤구간위약적미부풍험화상의결구，위도량금융부문계통성풍험제공료신적방법。본문기우해모형선취국내오가대형은행A고화자산부채표수거，결합다원겁치이론화겁치Coupla함수，득도은행일손실수거적다원겁치분포，계산출오가은행적연합위약개솔화기망손실등풍험지표。결과현시목전대은행적계통성위약풍험재가공범위내，계산결과위도량정부대금융궤구은성담보액제공료양화의거。
Systemic CCA method takes into account of both the tail risk and dependence structure between fi- nancial institutions in times of crisis, hence provides a new method to measure the systemic risk of financial sectors. Five large banks are involved in the construction of multivariate extreme value distribution and the de- fault probability and expected loss are figured out, where default is assumed that at least one bank will break up. Results show the systemic default risk of big banks are in the controllable range, and the calculation results provides a quantitative basis to measure the amount of the implicit guarantee of the government.