| 中国金融控股公司风险传递研究 |
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| 引用本文： | 杨勇,姚宁,郝鹏.中国金融控股公司风险传递研究[J].西安电子科技大学学报(社会科学版),2010,20(6):31-34. |
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| 作者姓名： | 杨勇 姚宁 郝鹏 |
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| 作者单位： | [1]天津大学管理学院,天津300072 [2]长城证券博士后科研工作站,深圳518034 [3]清华大学经济管理学院,北京100084 |
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| 摘 要： | 本文使用极值分布理论分析了我国银行业、证券业和保险业下偏风险相依性的特征,研究了我国金融控股公司的风险传递机制。研究结果表明,与保险业和证券业相比,银行业的风险相对较低,行业内部风险传染的概率要高于行业之间风险传染的概率,商业银行和证券公司混业经营风险传染的概率最低,这为组建金融控股公司会获得风险的分散效应提供了实证依据,并且给出了混业经营的政策建议。
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| 关 键 词： | 金融控股 极值分布 相依性 风险传染 |
Study on Risk Transfer Mechanism forFinancial Holding Companies of China |
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| YANG YONG,YAO NING,HAO PENG.Study on Risk Transfer Mechanism forFinancial Holding Companies of China[J].Journal of Xidian University (Social Sciences Edition),2010,20(6):31-34. |
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| Authors: | YANG YONG YAO NING HAO PENG |
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| Institution: | 1.School of Management,Tianjin University,Tianjin,300072,China; 2.Post Doctoral Research Center of Great Wall Securities Co.Ltd.,Shenzhen,518034,China; 3.School of Economics and Management,Tsinghua University,Beijing,100084,China) |
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| Abstract: | This article analyzes the dependence of the downside risk for banks and insurers and securities companies using extreme value distribution.The risk transfer mechanism of Chinese financial holding companies is studied.The results indicate that the risk of banks is less than both insurers and securities companies,and that the probability of risk transfer for the same sector is higher than for the cross sector.In addition,the probability of risk transfer between banks and insurers is lowest,which provides some empirical evidence for risk diversification by financial conglomerates and some suggestion is given. |
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| Keywords: | Financial holding company Extreme value distribution Dependence Risk transfer |
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