金融部门系统性风险监管的若干思考

©1994-2009ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.()WuhanUniversityJournal(Philosophy&SocialSciences)Vol.62.No.4July2009.443446:2008203201:,,;430072:2007(07JHQ0003)[],[];;[]F832[]A[]167227320(2009)04204432042006,WTO,,,,2007,,,,,,(),,,,,,,,,,,,,,(),©1994-2009ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.()62,,,,1()()()//(-),,,1,(VaR),,,,,,,,(),,,Summer[1](20),11,,,,,,(VaR),,,444©1994-2009ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.(),,22,,,,,,,,,,,(),,,,,,,(),(),,1.,,,,,544©1994-2009ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.()622.,,,,[][1]Summer,Martin.2007.ModellingInstabilityofBankingSystemsandtheProblemofMacroStressTests,ECBConferenceSimulatingFinancialInstability.[2]Gray,D.,etal.2006.ANewFrameworkforAnalysingandManagingMacrofinancialRisks,NBERWorkingPaper.[3]Avesani,R.,etal.2006.ANewRiskIndicatorandStressTestingTool:AMultifactorNth2to2defaultCDSBasket,IMFWorkingPaper.[4]:,20071[5]Merton,Robert.1990.TheFinancialsystemandEconomicPerformance,JournalofFinancialServicesResearch4(4).[6]Evans,O.,etal.2000,MacroprudentialIndicationsofFinancialSystemSoundness,IMF.[7]Crockett,Andrew.2000.MarryingtheMicro2andMacro2prudentialDimensionsofFinancialStability,BankforInternationalSettlements.[8]Borio,Claudio.2003.TowardsaMacroprudentialFrameworkforFinancialSupervisionandRegulation?BISWorkingPaper.[9]Borio,C.&I.Shim.2007.WhatCanMacro2prudentialPolicyDotoSupportMonetaryPolicy,BankforInternationalSettlements.[10]:,2008827[11]Praxis,Culub.2009.ProposalsontheFinancialCrisis,inBuildingAnInternationalMonetaryandFinancialSystemforthe21stCentury:AgendaforReform.()NewThoughtsonRegulationofSystematicRiskofFinancialSectorSongLingfeng(SchoolofEconomic&Management,WuhanUniversity,Wuhan430072,Hubei,China)Abstract:Asthefinancialopeningupofeveryeconomicsectorisdeepening,theimportanceofregulationofsystematicriskoffinancialsectoincreases.Thispaperprovidesaresearchonregulationofsystematicriskoffinancialsector.Itusesmacrofinancialengineeringframeworktoanalyzemacro2prudentialregulation.Basedonthesystematicquantitativemeasureoffinancialrisk,itsuggeststhatapublicsectorriskreservesystemsmightbebuilt.Keywords:systematicriskmanagement;macroprudentialregulation;macrofinancialengineering644