基于Lasso-Expectile行业系统性风险测度

Industry Systematic Risk Measurement Based on Lasso-Expectile

文章以我国沪深300指数27个三级行业指数为研究对象,使用Lasso-Expectile模型测度我国行业系统性风险。结果表明:行业间的实际风险同时受个体风险和边际风险系数的影响,风险低的三级子行业其风险溢出效应不一定小;非金融部门中地产对整个经济金融系统的风险影响最大,而金融部门中综合金融行业表现出较强的网络中心性。

This paper takes 27 tertiary industry indexes of CSI 300 index as the research object,and uses the lasso-expectile model to measure the systemic risk within the Chinese industry.The research result shows that the actual risk between industries is affected by both individual risk and marginal risk coefficient,and the risk spillover effect of the three-level sub-industries with low risk is not necessarily small;among the non-financial sectors,real estate has the greatest risk impact on the whole economic and financial system,while the integrated financial industry in the financial sector shows strong network centrality.