金融工程视角下的系统性风险度量与管理
摘 要
本文从金融工程视角出发，针对系统性风险的度量与管理展开深入研究。随着金融市场的复杂性和关联性日益增强，传统风险管理方法已难以有效应对系统性风险带来的挑战。研究旨在构建更为精准的风险度量模型，并提出相应的管理策略。与传统VaR模型相比，新方法在预测金融危机事件方面具有更高的准确性和预警能力。在此基础上，本文进一步设计了基于压力测试的动态资本缓冲机制和跨市场风险对冲策略，为监管部门和金融机构提供了切实可行的风险管理工具。研究成果不仅丰富了金融工程理论体系，也为防范系统性金融风险提供了新的思路和方法论支持，对维护金融稳定具有重要的实践意义。
关键词：系统性风险 金融工程 Copula函数
Abstract
From the perspective of financial engineering, this paper conducts further research on the measurement and management of systemic risk. With the increasing complexity and relevance of the financial market, the traditional risk management methods are difficult to effectively cope with the challenges brought by systemic risk. The study aims to build a more accurate risk measurement model and propose corresponding management strategies. Compared with the traditional VaR model, the new method has higher accuracy and early warning ability in predicting financial crisis events. Based on this basis, this paper further designs dynamic capital buffering mechanism and cross-market risk hedging strategy based on stress testing, which provides feasible risk management tools for regulatory authorities and financial institutions. The research results not only enrich the theoretical system of financial engineering, but also provide new ideas and methodology support for the prevention of systemic financial risks, which has important practical significance for the maintenance of financial stability.
Keyword:Systemic risk financial engineering Copula function
目 录
1绪论 1
1.1研究背景与意义 1
1.2研究现状 1
2系统性风险的金融工程度量方法 1
2.1基于网络分析的系统性风险测度 2
2.2Copula函数在风险关联性分析中的应用 2
2.3压力测试与情景分析方法 3
3系统性风险的金融工程管理策略 3
3.1宏观审慎政策工具设计 3
3.2金融机构风险缓冲机制构建 4
3.3跨境风险传染的防范措施 5
4金融工程视角下的风险管理实践 5
4.1系统性风险预警系统构建 5
4.2金融衍生品在风险管理中的应用 6
4.3监管科技在风险管理中的创新应用 6
5结论 7
参考文献 8
致谢 9
摘 要
本文从金融工程视角出发，针对系统性风险的度量与管理展开深入研究。随着金融市场的复杂性和关联性日益增强，传统风险管理方法已难以有效应对系统性风险带来的挑战。研究旨在构建更为精准的风险度量模型，并提出相应的管理策略。与传统VaR模型相比，新方法在预测金融危机事件方面具有更高的准确性和预警能力。在此基础上，本文进一步设计了基于压力测试的动态资本缓冲机制和跨市场风险对冲策略，为监管部门和金融机构提供了切实可行的风险管理工具。研究成果不仅丰富了金融工程理论体系，也为防范系统性金融风险提供了新的思路和方法论支持，对维护金融稳定具有重要的实践意义。
关键词：系统性风险 金融工程 Copula函数
Abstract
From the perspective of financial engineering, this paper conducts further research on the measurement and management of systemic risk. With the increasing complexity and relevance of the financial market, the traditional risk management methods are difficult to effectively cope with the challenges brought by systemic risk. The study aims to build a more accurate risk measurement model and propose corresponding management strategies. Compared with the traditional VaR model, the new method has higher accuracy and early warning ability in predicting financial crisis events. Based on this basis, this paper further designs dynamic capital buffering mechanism and cross-market risk hedging strategy based on stress testing, which provides feasible risk management tools for regulatory authorities and financial institutions. The research results not only enrich the theoretical system of financial engineering, but also provide new ideas and methodology support for the prevention of systemic financial risks, which has important practical significance for the maintenance of financial stability.
Keyword:Systemic risk financial engineering Copula function
目 录
1绪论 1
1.1研究背景与意义 1
1.2研究现状 1
2系统性风险的金融工程度量方法 1
2.1基于网络分析的系统性风险测度 2
2.2Copula函数在风险关联性分析中的应用 2
2.3压力测试与情景分析方法 3
3系统性风险的金融工程管理策略 3
3.1宏观审慎政策工具设计 3
3.2金融机构风险缓冲机制构建 4
3.3跨境风险传染的防范措施 5
4金融工程视角下的风险管理实践 5
4.1系统性风险预警系统构建 5
4.2金融衍生品在风险管理中的应用 6
4.3监管科技在风险管理中的创新应用 6
5结论 7
参考文献 8
致谢 9
