CAJ | 학술논문

本文基于现有研究文献,解析金融机构关联性与风险传染之间的机制,运用非对称Co VaR模型和分位数回归的方法,测度证券、银行、保险等机构的风险溢出水平,实证研究中国金融系统性风险的动态变化。结果表明,中国金融机构的风险溢出具有非对称的特征,负向冲击对金融系统的风险溢出要比遭受正向冲击时大,银行机构的风险贡献程度比其他机构小,证券部门的风险贡献值较大。
본문기우현유연구문헌,해석금융궤구관련성여풍험전염지간적궤제,운용비대칭Co VaR모형화분위수회귀적방법,측도증권、은행、보험등궤구적풍험일출수평,실증연구중국금융계통성풍험적동태변화。결과표명,중국금융궤구적풍험일출구유비대칭적특정,부향충격대금융계통적풍험일출요비조수정향충격시대,은행궤구적풍험공헌정도비기타궤구소,증권부문적풍험공헌치교대。
The highly interconnected may stimulate risk spillovers of financial institutions and induce systemic risk.Based on relative research,this paper explains the mechanism of interconnectedness and risk contagion. Using data,the paper apply Co VaR and quantile regression to measure risk spillover of Chinese financial institutions,which includes banking,securities and insurance sectors. The empirical results show that the risk spillovers of financial institutions are symmetric and the risk contribution of banks is small while the risk contribution of securities companies is relatively high.