體系風險衡量：動態波動率矩陣法

Measuring Systemic Risk: A Dynamic Volatility Matrix Approach

楊開宇(Yang, Kaiyu)

指導教授 ： 韓傳祥

國立清華大學/科技管理學院/計量財務金融系/碩士(2017年)

摘要

本文基於Acharya et al (2012)提出的systemic risk的理論下，提出用Malliavin and Mancino (2009) 提出的傅立葉轉換的方法建構動態連續時間模型來衡量體系風險。我們旨在為金融公司提供一個體系風險指標，同時，我們在不同方面來評估指標的效用。
我們分別衡量了美國、台灣及中國大陸金融公司的體系風險，以證明我們的SRISK指標對金融體系風險具有一定解釋力與預測力。監管機構可以參考這一指標來監控本國金融市場的體系風險以及個體金融機構對整體風險的貢獻。

關鍵字

體系風險 ； Heston 模型 ； 傅立葉轉換

並列摘要

In this paper, we follow the framework of measuring systemic risk proposed by Acharya et al (2012). We use the non-parametric Fourier transform method proposed by Malliavin and Mancino (2009) to construct the dynamic continuous-time model which aims to estimate the form of capital shortfall to provide a systemic risk indicator for financial firms. At the same time，we evaluate this indicator in several aspects.
We measure the systemic risk (SRISK) of financial firms in the United States, Taiwan and China to verify that the indicator has a certain ability to explain and predict financial system risk. Regulators can access this indicator to catch the whole systemic risk of domestic financial markets and the contribution of the individual enterprise to the system risk.

並列關鍵字

Systemic risk ； Heston model ； Fourier transform method

參考文獻

U.S. Congress. (2010). Dodd-Frank Wall Street reform and consumer protection act, Public Document H.R. 4173.

Acharya, Viral, Engle, Robert, Richardson, Matthew. (2012). Capital shortfall: a new approach to ranking and regulating systemic risks. American Economic Review: Papers & Proceedings 102, 59–64.

Economics, Princeton University.

Aı Y, Kimmel R. (2007) Maximum likelihood estimation of stochastic volatility models[J]. Journal of Financial Economics, 83(2): 413-452.

Alessi, Lucia, and Carsten. (2009). Real time early warning indicators for costly asset price boom/bust cycles: a role for global liquidity.