基于尾部指数回归的动态系统性尾部风险度量

Dynamic systematic tail risk measurement based on tail index regression

基于回归模型,考虑市场波动率指数(volatility index,VIX)对尾部指数的影响,研究了尾部指数与系统性尾部风险系数之间的关系,并构造了时变动态系统性尾部风险系数模型.基于该模型,研究了八个国家的代表股指的CVaR和时变动态系统性尾部风险系数.结果发现,在金融危机期间,全球市场的尾部风险显著增加;中国、日本、俄罗斯、印度,法国和英国的代表股指的系统性尾部风险小于全球市场的,而美国和德国的较高.

The impact of the(volatility index,VIX)on the tail index was considered based on the regression model.The relationship between the tail index and the systematic tail risk coefficient was studied and a time-varying dynamic systematic tail risk coefficient model was established.Based on the model,the CVaR and the time-varying tail systematic tail risk coefficient of typical stock indices of eight countries were studied.The results show that during the financial crisis,the tail risk of the global market had increased significantly.The systematic tail risks of typical stock indices of China,Japan,Russia,India,France,and England were less than those of the global market,while those of the United States and Germany were higher.