基于多元Copula函数的融资租赁行业风险相关性研究

The Research on Industrial Risk Correlation of Financial Leasing Companies Based on Multivariate Copula Function

选取融资租赁公司客户所处的主要六大行业的净资产收益率和总资产收益率数据,包括机械行业、电气行业、纺织行业、医药行业、交通行业、建筑行业,基于多元Copula函数模型对融资租赁相关行业的净资产收益率和总资产收益率进行相关性分析,从而对融资租赁相关行业之间的风险相关性进行一个全面的刻画。研究结果表明:六个行业的净资产收益率和总资产收益率存在正相关性,也即融资租赁公司客户所处的主要六大行业存在明显风险相关性。研究结论对于融资租赁行业以及相关金融行业的发展具有指导和实践意义。

The paper selects the ROE and ROA data of six major industries of the clients of financial leasing companies,including machinery,electrical,textile,pharmaceutical,transportation and construction industries to make a correlation analysis of ROE and ROA of financial leasing industry based on multivariate copula function. The final purpose is to describe the risk correlation among the above industries. The results show that the ROE and ROA of six industries are positively correlated with each other,namely,there are significant risk correlations among the six major industries. The conclusions of this study have important guidance and practical significance for financial leasing industry and the development of related financial industries.