资管业务恐慌性赎回风险最佳应对方案

在资管业务“打破刚兑”这一背景下，如何防范恐慌性赎回风险成为一亟需解决的问题。针对这一情况，本课题拟改进国际前沿有限承诺金融中介模型使之符合打破刚兑特征，在厘清投资者恐慌赎回风险演进与资产抛售负外部性形成的机制之上，阐明金融机构事前投资策略与事后风险应急方案，探究如何施加流动性要求纠正负外部性，该模型可全面剖析三者所有决策之间的相互影响，克服现有文献忽略监管政策对于稳定性的影响；基于均衡结果构建金融稳定性指标，将投资者流动性需求与风险偏好、资产收益率、金融市场流动性水平作为经济环境变量，揭示其与稳定性变动之间的规律；探明可完全消除恐慌性赎回时所对应经济环境变量集合及金融机构投资运作与监管者最佳策略，探明无法避免恐慌性赎回时所对应经济环境变量集合，并将其作为风险预警指标。课题研究成果为我国资管业务最佳风险应对方案与风险管理提供重要理论基础与技术参考，具有重要科学意义与应用价值。

In the context of the asset management business "breaking the rigid", how to prevent the risk of panic redemption has become an urgent problem to be solved. In response to this situation, this project intends to improve the limited commitment financial intermediary model to make it suitable for study of breaking the rigid. On the basis of clarifying the evolution of investor panic redemption risk and the presence of negative externalities of asset selling, it clarifies the prior investment of financial institutions strategies and contingency plans for ex post risks, exploring the imposition of liquidity requirements to correct negative externalities, this model can comprehensively analyze the interaction between all decisions of the three agents, and overcome the influence of regulatory policies that the existing literature ignores on stability; build finance based on equilibrium stability indicators, taking investors’ liquidity needs and risk preferences, asset yields, and financial market liquidity levels as economic environmental variables, and revealing the laws between them and stability changes; proving that it can completely eliminate panic redemptions corresponding to the set of economic environmental variables and the best strategies of financial institution investment operations and regulators, ascertain the set of corresponding economic environmental variables when panic redemption cannot be avoided, and use it as a risk warning indicator. The research results of the project provide important theoretical foundation and technical reference for the best risk response plan and risk management of asset management business, and have important scientific significance and application value.