Measurement of Financial Infrastructure Risk in China and Identification of District System Characteristics
Financial infrastructure is the core support for the operation of the financial market,and its security is closely related to the security and stability of the financial market,and the quantitative analysis of the risk of financial infrastructure has important theoretical and practical significance.In this paper,30 specific indicators are selected from the dimensions of systemic risk,credit risk,liquidity risk,and external market risk to build a financial infrastructure risk indicator system,and a financial infrastructure risk index is constructed at the level of the overall and subcatego-ries by using principal component analysis.A Markov Zone Transformation Model is further developed to identify the zones of the cyclical volatility component of China's financial infrastructure risk index.The results of the study show that the long-term trend of China's financial infrastructure risk has been declining since 2013,and at the same time by the macroeconomic situation,external market factors and other influences show short-term frequent fluctuation charac-teristics,short-term fluctuations in the risk of upward zoning system lasts longer,and the risk characteristics of the various subcategories of financial infrastructure show significant differences.
financial infrastructure riskindicator systemrisk volatility identificationprincipal component analysisMarkov Zone Transformation Model
万方数据
维普
