基于GAS-混合Copula模型的不同行业系统性风险研究

An Empirical Study on the Systemic Risk Measurement of Different Industries Based on GAS-Mixture Copula Model

金融危机后,对系统性风险的度量、预测和监管受到理论界和实践界的广泛关注。基于2012—2018年沪深300成分股36家上市公司的数据,构建广义自回归得分(GAS)—混合Copula模型度量其边际期望损失(MES),分析行业系统性风险贡献。研究表明:除金融业个股,其他行业个股与市场的下尾相依性大于上尾;个股系统性风险贡献取决于其所属行业,同行业个股系统性风险贡献度相近;银行业系统性风险贡献最小,券商和房地产行业风险贡献最大;市场下跌期,金融业个股MES值波动小于其他行业。

After the financial crisis,the measurement,prediction and supervision of systemic risk have been widely concerned with the theoretical and practical circles.Based on the stock of 36 listed companies in different industries in the Shanghai and Shenzhen 300 constituent stocks from 2012 to 2018,a Generalized Auto-regressive Score(GAS)-mixed Copula model is proposed to measure marginal expected shortfall(MES)and analyze the systemic risk contribution.It finds that,in addition to financial institution,the lower tail dependence of other institutions and market is greater than the upper tail dependence,the systemic risk contribution of individual stock depends on the institutions'area of activity,the systemic risk contribution of institution in the same industry is similar,the domestic banking industry's systemic risk contribution is the least,the risk contribution is the largest for securities and real estate industry,during the market downturn,the volatility of MES in the financial department is less than other industries.