系统性风险鲁棒度量及系统性风险对资产价格的影响机制研究

The systemic risk has been paid to lots of attentions by researchers due to the recent subprime crisis. We will consider the robust measures of systemic risk and the efficient mechanism of systemic risk on the prices of assets based on the risk measure, robust optimization and convex dual theories. An axiomatization framework of robust measures of systemic risk measure will be firstly established, and its convex programming representation will be discussed, and the relationship between robust measures of systemic risk and the current theory. Secondly, we will study the robust systemic risk allocations on the conditions of systemic risk occurring. We will attempt to find the efficient mechanism of systemic risk on the assets prices by introducing the competitive equilibrium and market clearing conditions. Finally, we will consider the allocations of the social whole wealth when the social planner faces the crisis of systemic risk. Under the uncertainties case, we will explore the Pareto robust optimization decision problems. We are attempting to find whether the uncertainty decisions can offset the shock from systemic risk. The contents on robust measures of systemic risk and robust competitive equilibrium in this program are the completely new and original. Some great innovative achievements can be expected, which is helpful for the development of systemic risk measure and CAPM, and can supply many references in theory and practice.

次贷危机的发生引起了人们对金融系统性风险的广泛关注。本项目以风险度量理论为基础，应用鲁棒最优化和凸对偶理论，研究系统性风险鲁棒度量及系统性风险对资产价格的影响机制问题。项目首先考虑系统性风险鲁棒度量的公理化理论构建，探索系统性风险鲁棒度量的凸规划表示，研究系统性风险鲁棒度量的计算；其次，研究系统性风险发生时，金融机构的资产配置问题，通过引入市场出清和竞争均衡约束，试图发现系统性风险对资产价格的影响机制；项目最后以社会计划者为视角，研究其面临系统性风险危机时的财富配置问题，通过引入不确定性假设，探索帕累托鲁棒最优决策问题，试图发现不确定性情形下的决策是否能够抵消掉系统性风险对市场带来的冲击。本项目关于系统性风险鲁棒度量、鲁棒竞争均衡模型是两个全新的独创性研究，预计能获得一些重大的创新成果，将对系统性风险度量具有重要理论贡献，能为系统风险监管提供有力的理论和实践参考。

次贷危机的发生引起了人们对系统性金融风险的广泛关注。本项目以风险度量理论为基础，从系统性金融风险的计算为切入点，在四个方面讨论了系统性金融风险的计算、影响因素和经济效应等问题。首先，从金融投资决策的角度，引入了极端尾部风险的，建立了一系列具有极端尾部风险最小化的鲁棒投资决策理论模型，分析了该模型的性质和极端尾部风险的影响。其次，从理论和实证的角度分别考察了风险的模糊性和系统性金融风险对权益、债券和基金等资产价格的影响。再次，在新冠疫情冲击引起的系统性金融风险背景下，考察了金融机构和资产市场的风险溢出和影响因素等问题。最后，从政府的有形之手决策和企业道德风险角度引入了计划者的问题，对系统性金融风险进行了延伸性研究。本项目研究将个体风险与系统性金融风险度量进行了区分和联系。项目成果丰富了系统性金融风险的计算和相关影响因素的文献，预期对市场监管者和投资者均具有重要的参考价值。