随机环境下银行业系统性风险变化研究——基于外部冲击的风险溢出视角

In recent years, under the influence of various uncertainties, the domestic financial environment and financial risks have become more complicated and volatile. The existence of external shocks has further aggravated the complexity of financial risks. In order to scientifically analyze the systemic risk changes in China's banking under randomized environment, this research takes the bank risk pricing as the starting point, introduces the random factors and external shock factors, constructs and tests the risk pricing model by using non-linear expectation theory and analyzes the spillover characteristics of the systemic risk in China's banking industry from the perspective of risk spillover. This study focuses on four questions. First, where are the effects of random factors on the pricing of bank risks . Second, how external shocks affect bank risks in a random environment. Third, how to evaluate the test results and explanatory power of different risk pricing models. Fourth, changes in the banking system's systemic risk are reflected in what aspects and how to measure. This topic theoretically enriches and expands the quantitative research on the relationship between stochastic factors and external shocks with the risks of banks and the systemic risks of banking. In practice, it helps to prudently measure bank risks, clarify the changes in the banking system's systemic risks, and enhance the consistency between macroeconomic policies and financial regulatory objectives, and reduce the conflicts in the implementation of various policies.

近年来，在各种不确定性因素的作用下，国内金融环境和金融风险越发复杂多变，外部冲击的存在则进一步加剧了金融风险的复杂程度。为了科学分析随机环境下我国银行业系统性风险的变化，本课题以银行风险定价为切入点，引入随机因素和外部冲击因素，利用非线性期望理论构建和检验风险定价模型，并从风险溢出视角分析我国银行业系统性风险的变化特征。本研究重点回答四个问题：一是随机因素在哪些方面对银行风险的定价产生影响；二是随机环境下外部冲击如何对银行风险产生影响；三是如何评价不同风险定价模型的检验效果和解释能力；四是银行业系统性风险的变化体现在哪些方面，如何进行度量。本课题在理论上丰富和拓展了随机因素和外部冲击与银行风险、银行业系统性风险的量化研究；在实践中有助于审慎测度银行风险，明确银行业系统性风险的变化，提高宏观经济政策与金融监管目标的一致性，降低各项政策执行过程中的冲突。

在各种不确定性因素的作用下，国内金融环境和金融风险越发复杂多变。为了科学分析随机环境下我国银行业系统性风险的变化，本课题以银行风险定价为切入点，引入随机因素，利用非线性期望理论构建风险定价模型，并从风险溢出视角分析我国银行业系统性风险的变化特征。首先，围绕倒向随机微分方程理论在金融风险中的定价展开的研究方面，主要进展包括：一是利用 期望理论，得到银行业系统性风险的定价公式；二是利用 期望理论，得到地方政府债务安全发行规模，为银行业系统性风险的防范作出贡献。其次，围绕平均场倒向随机微分方程理论嵌入金融领域展开的研究方面，主要进展包括：一是利用随机微分时滞方程理论，对一阶和二阶SMP的定义进行介绍，并给出变分方程及其解的估计，论证了成本函数的泛函泰勒展开，为嵌入金融领域作出强有力铺垫；二是在平均场倒向随机微分方程中，对平均场项和跳跃项同时进行观察，进行了更精细的计算；三是将平均场正向随机微分方程的扩散系数假设进行扩展，不仅依赖于解、解的时滞，而且还依赖于他们的分布，使得平均场倒向随机微分方程理论在金融风险领域应用更加符合实际。最后，围绕金融风险的溢出渠道、路径和强度展开的研究方面，主要进展包括：一是研究不确定环境中，宏观杠杆、货币政策与风险之间的关系，通过计量模型刻画出债务风险的溢出渠道、路径和强度；二是研究不确定环境中，期权市场新产品的上市对市场中风险的溢出渠道、路径和强度的影响。