基于正则藤Copula的行业系统性信用风险传染分析

Analysis of Systemic Credit Risk Contagion among Industries Based on R-Vine Copula Model

本文利用国民经济中九大门类行业相关数据,将度量行业信用风险的CCA方法加以改进,并构建正则藤Copula模型,揭示了样本行业间信用风险的非线性相依结构及信用风险传染路径。实证结果显示:各行业信用风险水平不一,但都较好地拟合了实际经济;任意两行业间无条件信用风险大多表现为下尾相关性,但条件信用风险的尾部相关性总体较弱;国民经济行业体系中存在加剧和减缓行业信用风险传染的"风险催化行业"和"条件隔离行业"。最后,提出了有效控制系统性金融风险、防范金融危机的措施建议。

Based on the related date of nine industries of the national economy,this paper improves the measure of credit risk industry—CCA method and constructs R-Vine Copula model to check the nonlinear dependent structure and credit risk contagion route of the industry＇s credit risk. Empirical results show that：（ 1） The credit risk level of each industry is different,but it fits the actual economy well;（ 2） Any of the two industries with no conditional credit risk are mostly of lower tail dependence,but the conditional tail dependence of credit risk is overall weak;（ 3） Knowledge of the degree of inter industry credit risk will change as a result of the credit risk in other industries. There exists ＂risk catalyst industry＂ that can aggravate credit risk contagion and＂conditional isolation industry＂that can slow down credit risk contagion in industry system. Finally,according to the credit risk contagion mechanism,this paper puts forward the measures to effectively control systemic financial risk and prevent systemic financial crisis.