基于尾部相依视角的证券业系统性风险度量

Measurement on Systematic Risk in Securities Industry Based on Tail Dependence Perspective

文章以中信证券、太平洋证券、国海证券等10家上市证券公司为研究对象,借助多种类型的Vine Copula模型,结合极值理论,基于尾部相依视角对证券业系统性风险进行了度量。结果表明,各证券公司收益率序列有明显的尾部相依性和不对称性,Kendal Tau系数在0.5~0.7之间,证券公司之间具有较为显著的尾部相依关系,条件相依结构也证实了我国证券行业具有较强的系统性风险。另外还发现,利用Vine Copula模型研究尾部相依结构,不仅可以捕捉到金融风险的系统性,还能够刻画出微观机构在系统性风险中引发以及传染的作用。

This paper takes 10 listed securities companies as research objects such as CITIC securities,Pacific securities,Sealand securities and so on.With the help of Vine Copula models of many types and combined with extreme value theory,the paper measures the systematic risk of the securities industry from the perspective of tail dependence.The empirical results show that the yield series of securities companies have obvious tail dependence and asymmetry,with Kendal Tau coefficient between 0.5 and0.7;there is a significant tail dependency between securities companies,and the conditional dependence structure also proves that China’s securities industry has strong systemic risk.In addition,it is found that using the Vine Copula model to study tail dependency structure can not only capture the systematicity of financial risks,but also portray the role of micro institutions in triggering and infecting systemic risks.