基于风险度量的金融资本监管

With the acceleration of economic globalization, the innovation of financial instruments and the emergence of financial derivatives, the risks that financial and insurance industry faces have been strengthened. To ensure a healthy and transparent economic environment for business activities to thrive, which constitutes an important project: financial regulation. In financial regulation, capital regulation is an extremely important tool. How to quantify risk accurately and prevent risk is the foundation of capital regulation.. As a tool to quantify risk, risk measures are used to calculate the minimum capital reserve in the capital regulation. We will study the theory and application of risk measure in regulatory capital in-depth. On the one hand, we will investigate the backtesting and the robustness of the existing risk measures; on the other hand, we will explore more suitable and fair risk measures from the perspective of prudential framework of financial regulation.. As the goal of financial regulation is to reduce systemic risk through balancing the object and the purposes of the decision-makers of financial institutions, this project will also focus on the strategy optimization problems of financial institutions with regulatory capital constraint. Then we will figure out the role of regulatory capital on the size of the system risk, which is essential to financial regulation.. The project will provide theoretical support for financial regulation.

伴随着全球经济一体化进程的加快，金融工具革新与金融衍生品的出现，金融和保险业面临的风险不断加强。如何确保金融业的健康、可持续发展，保障社会经济稳定发展成为一个至关重要的风险控制课题：金融监管。在金融监管中，资本监管是一个极其重要的手段。如何准确地量化风险与预防风险是资本监管的前提与基础。. 风险度量是量化风险的工具，在资本监管中用以计算最低资本储备。本项目拟对风险度量在资本监管中的理论和应用展开系统的研究。一方面从回溯检验与稳健性等方面对已有的风险度量展开系统的研究；另一方面，从金融监管的审慎框架的角度出发探索更公平合理的风险度量。.由于金融监管是通过平衡金融机构的目的和决策达到降低系统风险的目的，因此本项目拟研究在资本监管之下，金融机构的策略优化问题，从而得到系统风险的大小。这对研究资本监管对系统风险的作用至关重要。 . 这一项目的完成可以为金融资本监管提供理论指导。