关键词: HCCA模型, 高阶矩, 违约距离, 系统风险

Abstract: Based on Corrado-Su's formula and correction, it extends the CCA model, and measures the risk indicators such as individual DD, systemic DD and expected loss among 14 banks with their stock price and balance sheet data. The model reflects the dynamic processes of the global financial crisis, European sovereign-debt crisis, and the China’s real economy well. It finds that: (1) HCCA model can predict global financial crisis and European sovereign-debt crisis ahead of three to six months or longer, and thus help the financial sector catch the valuable time for to prevent and manage the financial crisis; (2) HCCA model shows that China’s banking systemic risks are steadily accumulated, and puts forward the early warning of the bank’s systemic risks for the financial authorities and commercial banks. It is necessary to measure the effect of hidden capital value with higher moments on the risk indicators such as DD and expected loss. It can improve the accuracy and effectiveness of financial policies, and strengthen the forward-looking prediction of policy measurements.

Key words: HCCA Model, Higher Moments, Distance to Default, Systemic Risk