基于正則藤Copula的行業(yè)系統(tǒng)性信用風(fēng)險(xiǎn)傳染分析
發(fā)布時(shí)間:2018-05-16 15:27
本文選題:CCA + 信用風(fēng)險(xiǎn); 參考:《工業(yè)技術(shù)經(jīng)濟(jì)》2016年06期
【摘要】:本文利用國(guó)民經(jīng)濟(jì)中九大門(mén)類(lèi)行業(yè)相關(guān)數(shù)據(jù),將度量行業(yè)信用風(fēng)險(xiǎn)的CCA方法加以改進(jìn),并構(gòu)建正則藤Copula模型,揭示了樣本行業(yè)間信用風(fēng)險(xiǎn)的非線性相依結(jié)構(gòu)及信用風(fēng)險(xiǎn)傳染路徑。實(shí)證結(jié)果顯示:各行業(yè)信用風(fēng)險(xiǎn)水平不一,但都較好地?cái)M合了實(shí)際經(jīng)濟(jì);任意兩行業(yè)間無(wú)條件信用風(fēng)險(xiǎn)大多表現(xiàn)為下尾相關(guān)性,但條件信用風(fēng)險(xiǎn)的尾部相關(guān)性總體較弱;國(guó)民經(jīng)濟(jì)行業(yè)體系中存在加劇和減緩行業(yè)信用風(fēng)險(xiǎn)傳染的"風(fēng)險(xiǎn)催化行業(yè)"和"條件隔離行業(yè)"。最后,提出了有效控制系統(tǒng)性金融風(fēng)險(xiǎn)、防范金融危機(jī)的措施建議。
[Abstract]:In this paper, we improve the CCA method to measure the credit risk of the industry by using the relevant data of nine major industries in the national economy, and construct the canonical Copula model. The nonlinear dependent structure of credit risk among sample industries and the contagion path of credit risk are revealed. The empirical results show that the level of credit risk in different industries is different, but all of them fit well with the actual economy; the unconditional credit risk between any two industries mostly shows lower tail correlation, but the tail correlation of conditional credit risk is generally weak; In the system of national economy, there are "risk catalytic industries" and "conditional isolation industries" which aggravate and mitigate the contagion of industry credit risk. Finally, the paper puts forward some measures to effectively control systemic financial risk and prevent financial crisis.
【作者單位】: 南京工業(yè)大學(xué);南京航空航天大學(xué);
【基金】:國(guó)家自然科學(xué)基金項(xiàng)目(項(xiàng)目編號(hào):71401074) 江蘇省哲學(xué)社會(huì)科學(xué)基金重點(diǎn)項(xiàng)目(項(xiàng)目編號(hào):14GLA003) 江蘇省高校研究生科研創(chuàng)新計(jì)劃項(xiàng)目(項(xiàng)目編號(hào):KYZZ_0099)
【分類(lèi)號(hào)】:F124;F832;F224
【相似文獻(xiàn)】
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1 孫志賓;;混合Copula模型在中國(guó)股市的應(yīng)用[J];數(shù)學(xué)的實(shí)踐與認(rèn)識(shí);2007年20期
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