财经理论与实践2017，Vol.38Issue(1)：24-29,6.
基于DCC-GARCH模型的中国上市银行系统性风险研究
A Research into Systematic Risks of Listed Banks in China Based upon a DCC-GRACH Model
摘要
Abstract
The article targets at 1 5 listed banks in China and analyses the risk correlation a-mong banks.The research on the interbank pertinence involves the following three parts:the measurement of time-varying correlation coefficients of yield rate of public banks;the measure-ment of the overall correlation between 4 large state-owned commercial banks and 11 joint-stock commercial banks;and the establishment of early-warning index of banking system risks correla-tion according to dynamic correlation among the listed banks in China.The study indicates that:a kind of unsymmetrical dynamic correlation prevails among the listed banks,in which the aver-age dynamic correlation coefficient of four large state-owned commercial banks is higher than that of eleven banks;the overall correlation between four large state-owned commercial banks and e-leven j oint-stock commercial banks is also found high;the early-warning index of banking system risks correlation built on the basis of dynamic correlation index among fifteen listed banks can de-tect the market risks in time.关键词
上市银行/系统性风险/动态相关/风险预警Key words
listed bank/systematic risk/dynamic correlation/risk warning分类
管理科学引用本文复制引用
王琳,沈沛龙..基于DCC-GARCH模型的中国上市银行系统性风险研究[J].财经理论与实践,2017,38(1):24-29,6.基金项目
国家自然科学基金项目(71173140)、2014高等学校哲学社会科学研究项目:“山西省金融业系统性风险问题研究” （71173140）
