基于计算实验金融方法的资本市场系统性风险分析

The systematic risk of capital markets becomes the most important topics in the financial market healthy development and financial innovation after the global financial crisis. Specially, as the introduction of financial innovation products in China capital markets, the correlation of multilevel markets become increasingly close and complex, and it makes the potential systematic risk continually accumulate. A multi-market computational simulation platform that includes stock market, stock index futures market and stock index options market is built to reveal the emergence rules of systematic risk in multi-market from three perspectives: financial products innovation, trading mechanism design and the impact of complicated trading strategies. On that basis, the "scene-respond" risk management idea is used to explore an effective way of systematic risk management by creating some risk scenarios which can reproduce the realistic factures of true risk events, and then generating new risk scenarios and testing the respond measures.

金融危机后，资本市场的系统性风险管理成为金融系统健康发展及金融创新活动所考虑的首要问题。随着中国资本市场金融创新产品的不断推出，各产品市场间的关联性变得日益紧密和复杂，使得潜在的系统性风险日益增加。从复杂演化系统的视角，通过构建包含股票市场、股指期货市场和股指期权市场的多市场计算实验金融仿真平台，从金融产品创新、交易机制设计以及复杂交易策略冲击三个方面去揭示多市场间系统性风险的涌现规律。然后，基于"情景-应对"型风险管理思想，在对真实金融系统性风险事件的反演校准基础上，繁衍出新的各种系统性风险"情景"，通过反复实验检验风险管控措施的有效性，并构建资本市场系统性风险管理框架。

近年来中国资本市场金融创新产品的不断推出，使得各产品与各市场间的相关性变得日益紧密和复杂，潜在系统性风险也在不断增加。通过构建包含股票市场、股指期货市场和股指期权市场的多市场计算实验金融仿真平台，从金融产品创新、交易机制设计以及复杂交易策略冲击三个视角，揭示多市场间系统性风险的形成与传导规律。应用“情景-应对”思想分析，通过对现实情境的反演与控制，探索系统性风险管理的有效途径。将为我国资本市场衍生品的推出与发展提供理论依据，为资本市场的系统性风险防范与控制提供理论指导，进而为推动我国资本市场长期稳定健康发展奠定基础。