首都师范大学学报（自然科学版）2025，Vol.46Issue(6)：41-48,8.DOI:10.19789/j.1004-9398.2025.06.006
银行与非银行金融机构的尾部风险传染分析
Tail risk contagion analysis of bank and non-bank financial institutions
摘要
Abstract
Taking the bank and non-bank variables as the research objects,the threshold Multivariate Multiquantile Conditional Autoregressive Value at Risk model(threshold MVMQ-CAViaR model)is constructed from the trend dimension,volatility dimension,and stability dimension to study the level of tail risk spillover between banks and non-bank financial institutions,and depict the dynamic risk and contagion relationships of the trend dimension at the 1%,5%,and 10%quantile levels.The results show that the threshold MVMQ-CAViaR model can effectively identify and predict the tail risk aggregation and contagion in all three dimensions,and the tail risk spillover between the bank and non-bank variables is bidirectional and asymmetric.Non-bank financial institutions exert greater risk spillover on banks during prosperous periods,while banks exert greater risk spillover on non-bank financial institutions during downturns.Therefore,it is necessary to strengthen regulatory supervision on non-bank's risk transmission during downturns.关键词
银行/非银行金融机构/门限MVMQ-CAViaR模型/尾部风险传染Key words
bank/non-bank/threshold MVMQ-CAViaR model/tail risk contagion分类
管理科学引用本文复制引用
WANG Zhaoyuan,HUANG Wei..银行与非银行金融机构的尾部风险传染分析[J].首都师范大学学报（自然科学版）,2025,46(6):41-48,8.基金项目
国家自然科学基金项目(12126357) （12126357）
新疆科技学院校级科研基金项目(2024-KYPT28) （2024-KYPT28）
