CAJ | 학술논문

文章以上市的影子银行体系相关金融机构和传统商业银行作为研究对象,通过构建GARCH-Va R模型,对各金融机构存在的风险进行了实证分析。结果表明：无论是99%显著性水平还是95%显著性水平下,影子银行体系的Va R水平均高于传统商业银行,国有大型商业银行的风险低于股份制商业银行和城市商业银行,表明影子银行体系较为脆弱,其内在高杠杆及不稳定性使影子银行极易受到市场冲击,形成系统性风险。影子银行的期限错配容易产生流动性风险,而高杠杆化加剧了流动性风险的扩大,相应的风险也随之增大。
문장이상시적영자은행체계상관금융궤구화전통상업은행작위연구대상,통과구건GARCH-Va R모형,대각금융궤구존재적풍험진행료실증분석。결과표명：무론시99%현저성수평환시95%현저성수평하,영자은행체계적Va R수평균고우전통상업은행,국유대형상업은행적풍험저우고빈제상업은행화성시상업은행,표명영자은행체계교위취약,기내재고강간급불은정성사영자은행겁역수도시장충격,형성계통성풍험。영자은행적기한착배용역산생류동성풍험,이고강간화가극료류동성풍험적확대,상응적풍험야수지증대。
In this paper, a GARCH-VAR model based on the financial institutions of shadow banking system and the traditional commercial banks was established, in which the risk assessments of China＇s shadow and commercial banks were analyzed. The results showed that the value at risk in the shadow banking system was higher than that of the traditional commercial banks and the value at risk of large state-owned commercial banks was lower than those of the joint-stock and city commercial banks in the condition of both the 99% and 95% level. The shadow banking system was more fragile, and its inherent high leverage and instability was vulnerable to market shocks, which led to systemic risk. The term mismatch of shadow banks easily caused the liquidity risk, and it expanded on the high leverage, which led to the higher value at risk of shadow banks.