金融风险测度统计研究
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摘要
金融是经济的核心，金融安全直接关系到经济安全。金融风险是现代金融活动中客观存在的事实。20世纪90年代以来的一系列金融危机引人深思，金融危机源自金融风险的积累与放大，使金融体系受到根本性威胁和破坏，危及一个国家乃至世界的金融安全与经济安全。本文从有效市场假说(EMH)和分形市场假说(FMH)同时切入金融市场，以金融风险测度为基础开展研究。首先，从微观入手，深入进行金融风险测度理论与实证研究，理论研究在风险价值(VaR)法和重标极差法(R／S)的金融市场风险测度研究的基础上，继续探讨风险价值(VaR)法在金融信用风险、流动性风险测度方面的应用，特别是对商业银行信用风险、流动性风险的测度。实证研究包括风险价值(VaR)法的金融市场风险测度、重标极差(R／S)法的金融市场风险测度和风险价值(VaR)法的金融信用风险测度三方面。其次，针对加入WTO以后，我国金融改革深入、开放扩大的更高要求，以及面对金融国际化浪潮给我国金融发展带来的挑战，利用两种市场理论，特别是分形市场理论，根据金融风险测度实证研究的结果，着眼于宏观金融，深入研究并且提出了新时期我国实施金融监管的基本策略与核心策略。本文特别强调，我国加入WTO以后，由于金融市场日趋复杂化，应该着力从有效市场假说(EMH)和分形市场假说(FMH)两方面对金融风险进行多角度的综合测度研究。金融风险控制、金融监管实施和金融安全维护需要有机地协同，三者在本质上是一体的。
Finance is the core of economy, and financial safety is directly related with economic safety. Financial risk is objective in modern finance activity. Inl990s, series financial crisis made people think deeply , financial crisis is from the accumulating and enlarging of financial risk , and financial risk can be enough to threat and damage financial system essentially, and then can jeopardize the financial and economic safety of a country and even of the world. This paper observes financial market with both the Efficient Market Hypothesis(EMH) and the Fractal Market Hypothesis(FMH) at the same time, financial risk measurement is the base of the whole research. Firstly, this paper microscopically started with a thoroughly theoretical and positive research on financial risk measurement. Theoretical research is based on financial market risk measurement with both the Value at Risk(VaR) method and the Rescaled Range (R/S) method, and then discussed the application of the VaR method on financial credit and liquidi
ty risk measurement .especially on those of commercial bank. Positive research includes financial market risk measurement by both VaR and R/S method, and financial credit risk measurement by VaR method. Secondly, aimed at the higher standard of further reform and enlarging open of our country after joined WTO, and facing the challenge that financial internationalization tide brings to the financial development of our country, according to result of Positive research on financial risk measurement, and based on the two market theories, especially the fractal market theory, this paper puts stress on macroscopic finance, and does a thorough research and has put forward some basical and key strategy for our country to implement financial supervision in this new period. This paper especially emphasizes that after joined WTO, our financial market becomes complex day by day, so it is necessary to observe it from both EMH and FMH angle at the same time ,and carry out a comprehensive research on financial risk measure
ment. We need to do an organically cooperative work between financial risk control .financial supervision implement and financial safety maintenance , and these three are essentially one thing.
Finance is the core of economy, and financial safety is directly related with economic safety. Financial risk is objective in modern finance activity. Inl990s, series financial crisis made people think deeply , financial crisis is from the accumulating and enlarging of financial risk , and financial risk can be enough to threat and damage financial system essentially, and then can jeopardize the financial and economic safety of a country and even of the world. This paper observes financial market with both the Efficient Market Hypothesis(EMH) and the Fractal Market Hypothesis(FMH) at the same time, financial risk measurement is the base of the whole research. Firstly, this paper microscopically started with a thoroughly theoretical and positive research on financial risk measurement. Theoretical research is based on financial market risk measurement with both the Value at Risk(VaR) method and the Rescaled Range (R/S) method, and then discussed the application of the VaR method on financial credit and liquidi
ty risk measurement .especially on those of commercial bank. Positive research includes financial market risk measurement by both VaR and R/S method, and financial credit risk measurement by VaR method. Secondly, aimed at the higher standard of further reform and enlarging open of our country after joined WTO, and facing the challenge that financial internationalization tide brings to the financial development of our country, according to result of Positive research on financial risk measurement, and based on the two market theories, especially the fractal market theory, this paper puts stress on macroscopic finance, and does a thorough research and has put forward some basical and key strategy for our country to implement financial supervision in this new period. This paper especially emphasizes that after joined WTO, our financial market becomes complex day by day, so it is necessary to observe it from both EMH and FMH angle at the same time ,and carry out a comprehensive research on financial risk measure
ment. We need to do an organically cooperative work between financial risk control .financial supervision implement and financial safety maintenance , and these three are essentially one thing.
引文
[1] 朱淑珍．金融创新与金融风险．第一版．上海：复旦大学出版社，2002
[2] Markowitz. H.. Portfolio selection. Journal of Finance,1952(3):77-91
[3] William Sharpe.Capital Asset Prices:A Theory of Market Equilibrium. Journal of Finance, 1964(9): 425-442
[4] John Lintner.The Valuation of Risk Asset and the Selection of Risky Investments in Stock Portfolios and Capital Budgets.Review of Economics and Statistics, 1965(2): 13-37
[5] Stephen Ross.The Arbitrage Theory of Capital Asset Pricing. Journal of Economic Theory,1976(9):341-360
[6] Pyle D.H. and S.J. Turnovsky. Safety First and Expected Utility Maximizition in Mean-Standard Deviation Portfolio Analysis. Review of Economics and Statistics, 1970(52):75-81
[7] Atwood J.Demonstration of the Use of Lower Partial Moments to Improve Safety-First Probability Limits. American Journal of Agricultural Economics, 1985(67):787-793
[8] 王春峰．金融市场风险管理．第一版．天津：天津大学出版社，2001
[9] Jorion P..Value at Risk:The New Benchmark for Controlling Market Risk.New York:McGraw-Hill Companies,Inc,1997
[10] Basle Committee on Banking Supervision.Amendment to the Capital Accord to Incorporate Market Risk.Bank for International Settlements, Basle, 1996
[11] 马超群，李红权，周恩，等．风险价值方法及其实证研究．中国管理科学，2001(10)：16-23
[12] 胡勇．银行风险价值管理．金融教学与研究，1998(5)：13-15
[13] 肯尼思·法尔科内．分形几何——数学基础及其应用．曾文曲，刘世耀，戴连贵，等译．第一版．沈阳：东北大学出版社，2001
[14] 埃德加·E·彼德斯．资本市场的混沌与秩序．王小东译．第二版．北京：经济科学出版社，1999
[15] 埃德加·E·彼德斯．分形市场分析．储海林，殷勤译．第一版．北京：经济科学出版社，2002
[16] 戴国强，徐龙炳，陆蓉．经济系统的非线性：混沌与分形．财经研究，1999(9)：29-34
[17] 范如国．混沌与金融危机．武汉水利电力大学学报(社会科学版)，2000(7)30-33
[18] 伍海化，李道叶，翟峰．资本市场复杂性．第一版．北京：经济科学出版社，2003
[19] Fama E.E.Efficient Capital Market:A Review of Theory and Empirical Work. Journal of Finance, 1970(25): 105-132
[20] 徐科军．资本市场的混沌与分形——从有效市场假说到分形市场假说．河南金融管理干部学院学报，2002(3)：29-32
[21] 林勇，郭林军．有效市场假设与分形市场假设．预测，2002(2)：34-38
[22] 曹永刚．现代金融风险．第一版．北京：中国金融出版社，2000
[23] 简·菲利普·鲍查德，马克·波特．金融风险理论．周为群译．第一版．北京：经济科学出版社，2002
[24] 王伟东．经济全球化中的金融风险管理．第一版．北京：中国经济出版社，1999
[25] 王楚，吴恒煜．金融市场风险测量的风险价值方法及其应用．西安交通大学学报，2001(12)：1-3
[26] 彭江平．风险价值的计算方法及其在证券风险管理中的应用．决策借鉴，2002(6)：34-38
[27] Penza P.,Bansal V.K. Measuring Market Risk with Value at Risk. New York:John Wiley & Sons Inc,2001
[28] 吴拥政．重标极差(R/S)法及其应用．统计与决策,2004(6)：已录用
[29] 安东尼·桑德斯．信用风险度量．刘宇飞译．第一版．北京：中国经济出版社，2001
[30] Altman E.I.,A.Saunders.Credit Risk Measurement:Developments over the Last Twenty Years. Journal of Banking and Finance, 1997(12): 1721-1742
[31] Morgan J.P.CreditMetrics.New York: Technical Document, 1997
[32] Finger C.C..A Comparison of Stochastic Default Rate Models. RiskMetrics Journal, 2000(11): 49-73.
[33] Kim,Jongwoo..A Way to Condition the Transition Matrix on Wind. RiskMetrics Group, http://www.riskmetrics.com/research/working/ctm.pdf, 1999
[34] Kim, Jongwoo..Hypothesis Test of Default Correlation and Application to Specific Risk. RiskMetrics Group, http: //www. riskmetrics. com/research/joumals/rmj4q00.pdf, 2000
[35] 章彰．商业银行信用风险管理．第一版．北京：中国人民大学出版社，2002
[36] 陈建梁．银行业风险评估理论模型与实证．第一版．广州：广东人民出版社，2002
[37] Duffee D., P. DeMarzo.A Liquidity-Based Model of Security Design, Econometrica, 1999(67): 65-99
[38] Foster F. D., S. Viswanathan.A Theory of the Interday Variations in Volume,Variance, and Trading Costs in Securities Markets,. Review of Fin. Studies, 1990 (3): 593-624
[39] Grossman S. J., M.H. Miller.Liquidity and Market Structure. Journal of Finance, 1988 (43): 617-633
[40] Kamara A..Liquidity, Taxes, and Short-Term Treasury Yields. Journal of Financial and Quantitative Analysis, 1994 (29): 403-417
[41] Pierre Giot, Joachim Grammig. How Large is Liquidity Risk in an Automated Auction Market? Journal of Empirical Finance 2003(2), 115-153
[42] 刘静．我国股价指数风险价值实证分析．经济问题探索，2002(3)：70-73
[43] 黄润生．混沌及其应用．第一版．武汉：武汉大学出版社，2000
[44] 吕金虎，陆君安，陈士华．混沌时间序列分析及其应用．第一版．武汉：武汉大学出版社，2002
[45] 张文棋，罗恩平．我国金融体制改革20年回顾与展望．福建农业大学学报(社会科学版)，1998(1)：36～41
[46] 宋光辉，吴拥政，王晶，等．中国加入WTO金融监管体系变革研究：[研究报告] ．长沙：湖南省社会科学院，2003
[47] 刘力．经济转轨时期我国金融风险与金融风险控制．金融研究，1997(7)：24-29
[48] 刘海龙，苗实，潘德惠．金融风险的控制方法．东北大学学报(社会科学版)，1999(1)：11-13
[49] Monetary and Exchange Affairs Department of IMF. Deposit Insurance and Crisis Management. http://www.imf.org/external/pubs/ft/wp/2000/wp0057.pdf
[50] 张波．对中国构建存款保险制度的思考．财经科学，1998(1)：71—73
[51] 郑尊信．存款保险制度估价问题研究．理财与效益，2002(1)：27—29
[52] 袁管华．90年代国际金融监管的新发展．国际金融，2001(10)：29-30
[53] 巴曙松．21世纪国际金融监管发展趋势展望．中国外汇管理，2002(2)：22-25
[54] 步新．按照国际惯例加强我国金融监管．财政金融，2002(8)：29-30
[55] Dowd K.. Beyond Value at Risk. New York: John Wiley&Sons, 1998
[56] 宋光辉，吴拥政．中美货币供应与经济增长比较研究．财经理论与实践，2004(3)：114-118
[57] 吴拥政．我国国际收支统计数据与GDDS的差距．上海统计，2003(7)：21-23
[58] 吴拥政，宋光辉．论入世以后我国的统计服务．统计与信息论坛，2003(5)：46-48
[59] Gaivoronski A,Pflug G..Finding Optimal Portfolio with Constraints on Value at Risk: [working paper].Norwegian University of Science and Technology,2000
[60] McCulloch J.H..The Value of European Options with Log-Stable Uncertainty: [working paper]. 1985
[61] 史东明．经济一体化下的金融安全．第一版．北京：中国经济出版社，1999
[2] Markowitz. H.. Portfolio selection. Journal of Finance,1952(3):77-91
[3] William Sharpe.Capital Asset Prices:A Theory of Market Equilibrium. Journal of Finance, 1964(9): 425-442
[4] John Lintner.The Valuation of Risk Asset and the Selection of Risky Investments in Stock Portfolios and Capital Budgets.Review of Economics and Statistics, 1965(2): 13-37
[5] Stephen Ross.The Arbitrage Theory of Capital Asset Pricing. Journal of Economic Theory,1976(9):341-360
[6] Pyle D.H. and S.J. Turnovsky. Safety First and Expected Utility Maximizition in Mean-Standard Deviation Portfolio Analysis. Review of Economics and Statistics, 1970(52):75-81
[7] Atwood J.Demonstration of the Use of Lower Partial Moments to Improve Safety-First Probability Limits. American Journal of Agricultural Economics, 1985(67):787-793
[8] 王春峰．金融市场风险管理．第一版．天津：天津大学出版社，2001
[9] Jorion P..Value at Risk:The New Benchmark for Controlling Market Risk.New York:McGraw-Hill Companies,Inc,1997
[10] Basle Committee on Banking Supervision.Amendment to the Capital Accord to Incorporate Market Risk.Bank for International Settlements, Basle, 1996
[11] 马超群，李红权，周恩，等．风险价值方法及其实证研究．中国管理科学，2001(10)：16-23
[12] 胡勇．银行风险价值管理．金融教学与研究，1998(5)：13-15
[13] 肯尼思·法尔科内．分形几何——数学基础及其应用．曾文曲，刘世耀，戴连贵，等译．第一版．沈阳：东北大学出版社，2001
[14] 埃德加·E·彼德斯．资本市场的混沌与秩序．王小东译．第二版．北京：经济科学出版社，1999
[15] 埃德加·E·彼德斯．分形市场分析．储海林，殷勤译．第一版．北京：经济科学出版社，2002
[16] 戴国强，徐龙炳，陆蓉．经济系统的非线性：混沌与分形．财经研究，1999(9)：29-34
[17] 范如国．混沌与金融危机．武汉水利电力大学学报(社会科学版)，2000(7)30-33
[18] 伍海化，李道叶，翟峰．资本市场复杂性．第一版．北京：经济科学出版社，2003
[19] Fama E.E.Efficient Capital Market:A Review of Theory and Empirical Work. Journal of Finance, 1970(25): 105-132
[20] 徐科军．资本市场的混沌与分形——从有效市场假说到分形市场假说．河南金融管理干部学院学报，2002(3)：29-32
[21] 林勇，郭林军．有效市场假设与分形市场假设．预测，2002(2)：34-38
[22] 曹永刚．现代金融风险．第一版．北京：中国金融出版社，2000
[23] 简·菲利普·鲍查德，马克·波特．金融风险理论．周为群译．第一版．北京：经济科学出版社，2002
[24] 王伟东．经济全球化中的金融风险管理．第一版．北京：中国经济出版社，1999
[25] 王楚，吴恒煜．金融市场风险测量的风险价值方法及其应用．西安交通大学学报，2001(12)：1-3
[26] 彭江平．风险价值的计算方法及其在证券风险管理中的应用．决策借鉴，2002(6)：34-38
[27] Penza P.,Bansal V.K. Measuring Market Risk with Value at Risk. New York:John Wiley & Sons Inc,2001
[28] 吴拥政．重标极差(R/S)法及其应用．统计与决策,2004(6)：已录用
[29] 安东尼·桑德斯．信用风险度量．刘宇飞译．第一版．北京：中国经济出版社，2001
[30] Altman E.I.,A.Saunders.Credit Risk Measurement:Developments over the Last Twenty Years. Journal of Banking and Finance, 1997(12): 1721-1742
[31] Morgan J.P.CreditMetrics.New York: Technical Document, 1997
[32] Finger C.C..A Comparison of Stochastic Default Rate Models. RiskMetrics Journal, 2000(11): 49-73.
[33] Kim,Jongwoo..A Way to Condition the Transition Matrix on Wind. RiskMetrics Group, http://www.riskmetrics.com/research/working/ctm.pdf, 1999
[34] Kim, Jongwoo..Hypothesis Test of Default Correlation and Application to Specific Risk. RiskMetrics Group, http: //www. riskmetrics. com/research/joumals/rmj4q00.pdf, 2000
[35] 章彰．商业银行信用风险管理．第一版．北京：中国人民大学出版社，2002
[36] 陈建梁．银行业风险评估理论模型与实证．第一版．广州：广东人民出版社，2002
[37] Duffee D., P. DeMarzo.A Liquidity-Based Model of Security Design, Econometrica, 1999(67): 65-99
[38] Foster F. D., S. Viswanathan.A Theory of the Interday Variations in Volume,Variance, and Trading Costs in Securities Markets,. Review of Fin. Studies, 1990 (3): 593-624
[39] Grossman S. J., M.H. Miller.Liquidity and Market Structure. Journal of Finance, 1988 (43): 617-633
[40] Kamara A..Liquidity, Taxes, and Short-Term Treasury Yields. Journal of Financial and Quantitative Analysis, 1994 (29): 403-417
[41] Pierre Giot, Joachim Grammig. How Large is Liquidity Risk in an Automated Auction Market? Journal of Empirical Finance 2003(2), 115-153
[42] 刘静．我国股价指数风险价值实证分析．经济问题探索，2002(3)：70-73
[43] 黄润生．混沌及其应用．第一版．武汉：武汉大学出版社，2000
[44] 吕金虎，陆君安，陈士华．混沌时间序列分析及其应用．第一版．武汉：武汉大学出版社，2002
[45] 张文棋，罗恩平．我国金融体制改革20年回顾与展望．福建农业大学学报(社会科学版)，1998(1)：36～41
[46] 宋光辉，吴拥政，王晶，等．中国加入WTO金融监管体系变革研究：[研究报告] ．长沙：湖南省社会科学院，2003
[47] 刘力．经济转轨时期我国金融风险与金融风险控制．金融研究，1997(7)：24-29
[48] 刘海龙，苗实，潘德惠．金融风险的控制方法．东北大学学报(社会科学版)，1999(1)：11-13
[49] Monetary and Exchange Affairs Department of IMF. Deposit Insurance and Crisis Management. http://www.imf.org/external/pubs/ft/wp/2000/wp0057.pdf
[50] 张波．对中国构建存款保险制度的思考．财经科学，1998(1)：71—73
[51] 郑尊信．存款保险制度估价问题研究．理财与效益，2002(1)：27—29
[52] 袁管华．90年代国际金融监管的新发展．国际金融，2001(10)：29-30
[53] 巴曙松．21世纪国际金融监管发展趋势展望．中国外汇管理，2002(2)：22-25
[54] 步新．按照国际惯例加强我国金融监管．财政金融，2002(8)：29-30
[55] Dowd K.. Beyond Value at Risk. New York: John Wiley&Sons, 1998
[56] 宋光辉，吴拥政．中美货币供应与经济增长比较研究．财经理论与实践，2004(3)：114-118
[57] 吴拥政．我国国际收支统计数据与GDDS的差距．上海统计，2003(7)：21-23
[58] 吴拥政，宋光辉．论入世以后我国的统计服务．统计与信息论坛，2003(5)：46-48
[59] Gaivoronski A,Pflug G..Finding Optimal Portfolio with Constraints on Value at Risk: [working paper].Norwegian University of Science and Technology,2000
[60] McCulloch J.H..The Value of European Options with Log-Stable Uncertainty: [working paper]. 1985
[61] 史东明．经济一体化下的金融安全．第一版．北京：中国经济出版社，1999
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