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Jingdong book

经济周期经济转型与商业银行系统性风险管理

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Jingdong book

经济周期经济转型与商业银行系统性风险管理

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《经济周期经济转型与商业银行系统性风险管理》着重研究企业产权制度变革、金融体系改革以及对外开放对商业银行信用风险的影响。一是综合运用实物期权理论和概率论原理，建立了一个两部门风险生成模型，剖析企业产权制度变革对商业银行信用风险的影响机制；二是分析金融体系改革对商业银行的双重硬化效应——预算约束硬化和资本约束硬化，指出双重硬化效应正是金融体系改革影响商业银行信用风险的核心渠道；三是建立一个对外开放三阶段模型，分析对外开放对银行信用风险的双向影响机制：既会通过增加企业收益水平来降低贷款损失分布曲线，又会通过加大企业收益的波动性来提高贷款损失分布曲线。我国经济转型尚未完成，因此经济转型因子是我国商业银行当前及未来信用风险度量都必须考虑的重要参数。《经济周期经济转型与商业银行系统性风险管理》关于经济周期及经济转型影响商业银行信用风险的理论解释是全书研究的重要基础，也为这一横跨宏微观领域的课题提供了新的研究视角。
Author Description

李关政，1982年2月生，广东省茂名市人。201O年毕业于湖南大学，获经济学博士学位。研究方向为金融管理与金融工程。2008年获国家留学基金资助，赴西澳大利亚大学访问留学；2010年进入招商银行从事博士后研究工作；现供职于招商银行总行计划财务部，被深期I市政府认定为高层次专业人才。主持中国博士后科学基金会第48批面上资助项目“我国商业银行贷款系统性风险管理研究”，参与国家社会科学基金重点项目、国家自然科学基金项目、国家985工程资助项目、国家教育部博士点基金项目等多项国家级科研课题。在Review of Development Economics（SSCI）、《金融研究》和《财经研究》等国内外权威期刊发表学术论文10余篇。参与写作学术专著1部、译著1部。曾获中国金融教育发展基金会优秀科研成果一等奖。
Catalogue

第一章 导论
第一节 研究背景及意义
第二节 总体研究框架
第三节 各章研究内容
第四节 研究方法

第二章 商业银行系统性风险管理研究进展
第一节 国外的系统性风险管理研究进展
一、基于系统性风险因子的信用风险度量模型研究
二、系统性风险的实证研究
第二节 国内的系统性风险管理研究进展
第三节 研究述评

第三章 商业银行系统性风险管理理论分析
第一节 系统性风险的基本内涵
一、信用风险的基本要素
二、信用风险的损失分类
三、信用风险的组合分散效应
四、风险贡献与系统性风险
第二节 系统性风险的理论分析
一、基于经济周期的系统性风险理论分析
二、基于经济转型的系统性风险理论分析
第三节 系统性风险度量模型的基本原理
一、单因素模型的基本原理
二、CPV模型的基本原理
三、多期CreditRisk+模型的基本原理

第四章 经济周期与我国商业银行系统性风险
第一节 系统性风险的跨周期模型
一、跨周期模型的基本假设
二、跨周期模型的构建与分析
三、经济周期风险难以规避的原因辨析
第二节 信用风险基本要素的顺周期波动分析
一、违约概率的顺周期波动
二、违约损失率的顺周期波动
三、违约风险暴露的顺周期波动
第三节 商业银行经济资本的顺周期性分析
一、经济资本管理的基本原理
二、经济资本顺周期性的表现及特征
三、经济资本顺周期性的外部影响

第五章 经济转型与我国商业银行系统性风险
第一节 企业产权制度变革与商业银行系统性风险
一、企业产权制度变革的历程分析
二、两部门风险生成模型的构建
三、基于企业产权制度变革的两部门风险生成模型
第二节 金融体系改革与商业银行系统性风险
一、金融体系改革的历程分析I
二、金融体系改革影响商业银行系统性风险的双重路径
第三节 对外开放与商业银行系统性风险
一、对外开放的历程分析
二、对外开放影响商业银行系统性风险的三阶段模型分析

第六章 我国商业银行系统性风险因子测定
第一节 测定系统性风险因子的SRF模型设计
一、SRF模型的基本假设与基础框架设定
二、系统性风险因子的AR结构设计
第二节 系统性风险因子的选择
一、经济周期因子的选择
二、经济转型因子的选择
第三节 基于SRF模型的系统性风险因子测定
一、实证样本及数据说明
二、样本企业的历史违约概率测算
三、系统性风险的测定过程
四、系统性风险因子测定结果分析

第七章 基于系统性风险因子的违约概率测算模型
第一节 基于系统性风险因子的违约概率测算模型设计
一、运用Logistic模型测算违约概率的基本原理
二、SR-Logistic模型设计
第二节 系统性风险因子影响违约概率的行业和地区差异分析
一、系统性风险因子影响违约概率的行业差异
二、系统性风险因子影响违约概率的地区差异
第三节 分行业SR-Logistic模型的实证分析
一、实证样本的行业选择
二、分行业SR-Logistic模型的回归过程
三、分行业SR-Logistic模型的判别能力检验
第四节 分地区SR-Logistic模型的实证分析
一、实证样本的地区选择
二、分地区SR-Logistic模型的回归过程
三、分地区SR-Logistic模型的判别能力检验

第八章 基于宏观经济预测的系统性风险度量
第一节 我国宏观经济的变化趋势分析
一、我国经济周期的变化趋势
二、我国经济转型的发展趋势
第二节 商业银行系统性风险因子预测
一、宏观经济情景预测
二、基于压力测试方法的系统性风险因子预测
第三节 系统性风险度量过程
一、基于SR-Logistic模型的违约概率测算
二、不同宏观经济情景下贷款组合的非预期损失计量

第九章 系统性风险“MM”管理法
第一节 系统性风险因子动态监测
一、系统性风险因子之间的互动关系
二、系统性风险因子的监测
第二节 经济资本的顺周期缓释机制
一、经济资本计量输入端的顺周期缓释机制
二、经济资本计量输出端的顺周期缓释机制
第三节 系统性风险经济资本管理体系
一、系统性风险经济资本预算
二、系统性风险经济资本配置
三、系统性风险经济资本绩效评估
第四节 基于sR-Logistic模型的系统性风险压力测试
一、系统性风险压力测试方法
二、行业及地区层面的系统性风险压力测试
结论

附录
参考文献
索引
后记
Introduction

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