Measuring the Intraday Jump Tail Risk of Financial Asset Price with Noisy High Frequency Data

This paper proposes a simple two-step nonparametric procedure to estimate the intraday jump tail and measure the jump tail risk in asset price with noisy high frequency data. We first propose the pre-averaging threshold approach to estimate the intraday jumps occurred, and then use the peaks-over-threshold (POT) method and generalized Pareto distribution (GPD) to model the intraday jump tail and further measure the jump tail risk. Finally, an empirical example further demonstrates the power of the proposed method to measure the jump tail risk under the effect of microstructure noise.

Tail risks and infectious disease: Influenza mortality in the U.S., 1900-2018

I use extreme values theory and data on influenza mortality from the U.S.for 1900 to 2018 to estimate the tail risks of mortality.I find that the distribution for influenza mortality rates is heavy-tailed,which suggests that the tails of the mortality distribution are more informative than the events of high frequency(i.e.,years of low mortality).I also discuss the implications of my estimates for risk management and pandemic planning.

Multi-hierarchical fuzzy judgment and nested dominance relation of rough set theory-based environmental risk evaluation for tailings reservoirs

Environmental risk assessment of tailings reservoir assessment system is complex and has many index factors.In order to accurately judge surrounding environmental risks of tailings reservoirs and determinate the corresponding prevention and control work,multi-hierarchical fuzzy judgment and nested dominance relation of rough set theory are implemented to evaluate them and find out the rules of this evaluation system with 14 representative cases.The methods of multi-hierarchical fuzzy evaluation can overall consider each influence factor of risk assessment system and their mutual impact,and the index weight based on the analytic hierarchy process is relatively reasonable.Rough set theory based on dominance relation reduces each index attribute from the top down,largely simplifies the complexity of the original evaluation system,and considers the preferential information in each index.Furthermore,grey correlation theory is applied to analysis of importance of each reducted condition attribute.The results demonstrate the feasibility of the proposed safety evaluation system and the application potential.

RUIN PROBABILITY IN A SEMI-MARKOV RISK MODEL WITH CONSTANT INTEREST FORCE AND HEAVY-TAILED CLAIMS

In the present paper, we consider a kind of semi-Markov risk model （SMRM） with constant interest force and heavy-tailed claims~ in which the claim rates and sizes are conditionally independent, both fluctuating according to the state of the risk business. First, we derive a matrix integro-differential equation satisfied by the survival probabilities. Second, we analyze the asymptotic behaviors of ruin probabilities in a two-state SMRM with special claim amounts. It is shown that the asymptotic behaviors of ruin probabilities depend only on the state 2 with heavy-tailed claim amounts, not on the state 1 with exponential claim sizes.

Risk assessment of heavy metal contaminated soil in the vicinity of a lead/zinc mine

Heavy metal contamination of soils through anthropogenic activities is a widespread and serious problem confronting scientists and regulators throughout the world. In this study we investigated the distribution, chemical species and availability of lead, zinc, cadmium and copper in nine surface（0 to 20 cm） soils from near an abandoned lead/zinc mine tailings located in Shaoxing, Zhejiang, China. Total heavy metal contents ranged from 5271 to 16369 mg/kg for Pb, 387 to 1221 mg/kg for Zn, 3.0 to 9.3 mg/kg for Cd and 65 to 206 mg/kg for Cu. In general, all heavy metals exceeded China National Standards for Soil Environmental Quality of Heavy Metals by a factor of 3-65 times. Comparison of the heavy metal concentrations（Pb, Zn, Cd and Cu） with clay content revealed a strongly significant relationship while significant relationship（ P 〈 0.001 ） was also obtained between Cd ＋ Zn and Pb ＋ Cu. Solid phase speciation of the soils using Tessier procedure showed that the heavy metals were distributed in the order： residual 〉〉 organically complexed-Fe-Mn oxides occluded 〉 carbonate bound 〉 exchangeable 〉 water soluble. In the organic matter fraction, the ratio of Pb（29.1% ） to its total concentration in the soils was higher than those of Zn（4.70% ）, Cd（3.16% ） and Cu（9.50% ）. The percentages of the water soluble and the exchangeable fractions of Pb（1.80% ） and Cd（2.74% ） were markedly greater than those of Zn（0.10% ） and Cu（0.15% ）, suggesting that Pb and Cd are relatively more mobile and hence more toxic in the contaminated soils. Strongly significant relationships between H20-Pb, H20-Zn and H20-Cu, strong positive correlations between H20-Pb, H20-Zn, H20-Cu and organic matter in soil were found. The content of H20-Pb, H20-Zn, H20-Cu was negatively correlated with pH values. The similar negative relationships between pH values and exchangeable heavy metals were also recorded. It is suggested that increasing soil pH or liming the soil could decrease bioavailability of heavy metals in the soil.

基于改进的RiskMetrics模型的股票市场风险度量

对RiskMetrics模型两个假设做出改进,并运用改进的RiskMetrics模型对2007年1月至2018年9月的国内外股票指数日收盘价序列进行建模,实证结果表明:改进的RiskMetrics模型可以更加精准刻画三类股指序列的在险价值。美国股市对利空消息的反应非常剧烈,沪深股市与香港股市之间具有趋同性,但两者对新息冲击的反应有所不同,沪深股市对利空消息与利好消息的反应区别不明显,而香港股市对利空消息的反应明显强于利好消息。另外,三类指数的收益率序列均呈“尖峰厚尾”特性;股票价格波动对冲击的反应速度由高到低依次是美国股市、香港股市、内地股市,而对冲击的持久性由强至弱的排序则恰恰相反。

Econometric modeling of risk measures: A selective review of the recent literature

Since the financial crisis in 2008, the risk measures which are the core of risk management, have received increasing attention among economists and practitioners. In this review, the concentration is on recent developments in the estimation of the most popular risk measures, namely, value at risk (VaR), expected shortfall (ES), and expectile. After introducing the concept of risk measures, the focus is on discussion and comparison of their econometric modeling. Then, parametric and nonparametric estimations of tail dependence are investigated. Finally, we conclude with insights into future research directions.

基于Levy-GARCH模型的股票市场尾部风险度量研究

防范化解金融风险是牢牢守住不发生系统性风险底线的重要工作,描述资产价格规律、准确度量尾部风险是风险管理的前提。为研究非对称性和非高斯性对我国股市收益率预测和尾部风险度量的影响,本文使用20种Levy-GARCH模型对上证综合指数进行实证分析,计算噪声服从跳跃过程时的VaR和CVaR值,结合快速傅里叶变换数值计算和回溯测试进行检验。研究结果表明:在中国股市中,非高斯性和非对称性是不可忽视的重要特征,跳跃行为在收益率拟合、预测和风险度量方面有重要影响;在尾部风险度量上,带跳跃的非仿射结构条件方差模型表现稳定地优于仿射结构模型,而且有限跳跃过程模型的综合表现优于带无限活动率跳跃过程的模型。总的来说,非对称、非高斯、非仿射的Levy-GARCH模型在收益率拟合与尾部风险测度上表现更好,而且有限跳跃形态可以更准确地解释中国股票市场的尾部风险。

Extreme Values Approach in Food Risk Modeling

In this paper we estimate the incubation period of a possible pathology following exposure to dioxins during a poor diet. The tools developed for this purpose include the probabilistic extremal model and the stochastic behavior of the distribution tails of the contamination. We propose a cumulative distribution function for a random variable that follows both a Gaussian distribution and a GPD. A global optimization method is also explored for the efficient estimation of parameters of GPD.

基于土柱模拟降雨对铜尾矿重金属淋溶进入下伏土壤的生态风险研究

为探究铜尾矿重金属释放对环境的影响,通过动态淋溶实验,配置初始pH=7.2的人工模拟雨水为淋滤液,采用柱状淋溶装置进行尾矿重金属淋出实验,探究中卫某铜尾矿重金属的淋溶释放特征,评估尾矿重金属淋溶的生态风险.结果表明,尾矿中Cu、Zn、As、Cd和Pb平均质量含量分别为2130.30、105.10、234.41、0.72和64.57mg·kg^(-1),均超出宁夏土壤重金属元素背景值.淋溶10次后,尾矿中Cd、Zn、Pb、As、Cu等重金属的释放率分别为1.98%、0.32%、0.30%、0.15%、0.01%,即Cd的释放率最高.淋溶后,尾矿重金属质量含量明显下降,其中0~5cm深度尾矿重金属含量下降最多,As的释放量最大,重金属向下层迁移明显.尾矿中Cu、Pb、Cd和Zn主要淋失碳酸盐结合态,As主要淋失可交换态,As和Cd的淋溶风险较高.Cu是尾矿重金属中关键的生态风险因子,尾矿中Cd和Cu为高风险,As、Zn和Pb为中风险.

关注尾部风险:贸易政策不确定性、预期与人民币汇率变动

贸易是决定汇率的首要因素,而贸易政策变动带来的不确定性如何影响人民币汇率双向变动?本研究基于无抛补利率平价思想,引入贸易政策不确定性的尾部风险对汇率预期的影响,建立中美贸易政策不确定性与人民币汇率关系的理论模型,进而基于交叉分位数回归模型探究中美贸易政策不确定性对人民币在岸与离岸市场的短期影响.实证结果表明中国和美国贸易政策不确定性对人民币在岸与离岸汇率冲击具有非对称性和尾部特征,且中国贸易政策不确定性对人民币汇率的影响占主导地位.最后,贸易政策不确定性通过改变外汇市场投资者的预期进一步作用于人民币汇率变动.因此,央行要加强针对尾部风险的主动应对措施,投资者需关注贸易政策改变带来的不确定性而调整套期保值策略。

柏拉图–伽马模型下尾在险价值度量的贝叶斯估计的渐近行为及其应用

针对柏拉图–伽马风险模型的尾在险价值度量的贝叶斯估计量的渐近行为进行研究有助于对风险度量进行统计推断,以便于风险投资者及时采取相应措施规避风险。首先,通过构造柏拉图–伽马模型的贝叶斯假设,给出了尾在险价值度量的贝叶斯估计量,并利用经典的大偏差和中偏差理论,以及Delta方法得到了尾在险价值度量的贝叶斯估计量的渐近行为,包括渐近正态性、大偏差原理和中偏差原理;其次,给出了尾在险价值度量的贝叶斯估计量的中偏差原理在统计假设检验方面的具体应用,得到了第一类错误和势函数的渐近行为;最后,通过数值模拟的方法,计算并模拟了尾在险价值的置信区间及其区间覆盖率,并在不同样本容量下画出了尾在险价值度量的贝叶斯估计量标准化后的直方图和核密度估计曲线,这与标准正态分布密度函数曲线基本重合,从而验证了估计量的渐近正态性,同时还模拟了尾在险价值度量的贝叶斯估计量相关的尾概率,模拟结果表明样本容量充分大时,尾概率以一定的速度趋近于零,由此验证了估计量的中偏差原理。

香港股市对内地股市行业间尾部风险溢出研究

基于行业市场视角,采用非对称CoVaR方法测量香港股市内部行业对内地相应行业的尾部风险溢出,识别易受冲击的行业子市场,分析不同时期市场遭受不同冲击对尾部风险的作用关系、影响因素,剖析输入性金融风险传染渠道。研究发现:香港地区对于内地的行业尾部风险溢出集中在非日常消费品与工业子市场;不同行业尾部风险溢出存在异质性,在国际化程度高的市场中贸易开放度及金融开放度有显著作用;各主要传染渠道在不同时期所发挥的作用不同,如信息渠道总在尾部风险溢出中起到显著作用,金融联系渠道则在机制改革与内地市场脆弱性增加的特殊时期起到减弱尾部风险溢出的作用。同时,为有效防范系统性金融风险和加强金融协调监管提出了对策建议。

期权隐含尾部风险信息的系统性风险预警功能研究

系统性风险预警是防范化解系统性风险的重要举措。期权市场隐含着大量有价值且具前瞻性的信息。本文从上证50ETF期权价格中提取隐含尾部风险信息,检验期权隐含尾部风险信息的系统性风险预警功能。实证结果表明,期权隐含尾部风险信息对我国系统性风险具有显著的预测能力,在控制其他风险预警指标后,结果仍然显著。期权隐含尾部风险信息对不同部门系统性风险的预测能力存在差异,对股票市场风险和债券市场的预测效果最好。将期权隐含尾部风险信息加入传统风险预警指标体系后,能够大幅提升预警指标的预警效果,降低噪声信号比。

尾矿库环境事故因素分析及建议

基于我国尾矿库环境风险特征,分析近年来尾矿库环境事故原因,并针对环境事故发生后的应急处理及环境次生灾害应急处理展开讨论。针对我国尾矿资源存量大、类型多,资源综合利用率较低以及矿山企业生产管理水平不高的实际问题,提出建议:一是要实现尾矿资源的综合利用,达到减量减排的目的;二是要对尾矿库采取系统性的污染治理,特别是针对因不可抗拒因素而引起的环境污染问题;三是要加强安全管理,减少溃坝等安全风险,从源头降低安全事故次生环境污染风险。

湖南某锡矿尾矿库周边土壤重金属污染特征及其来源分析

文章采用地质统计分析、污染指数法、地质累积指数法及潜在生态风险指数法对锡矿尾矿库周边表层土壤中Cd、Pb、As、Zn、Cu含量、分布及污染程度进行统计与分析,并采用相关性分析及主成分分析法对重金属来源进行定性描述。结果显示:(1)重金属平均值为Pb 398.70 mg/kg、Cd 5.97 mg/kg、As 1135.68 mg/kg、Cu 77.04 mg/kg、Zn 545.63 mg/kg,所有样品重金属含量均超过背景值;(2)尾矿库周边土壤为重污染,周边区域污染程度为西北>北侧>东侧>南侧>西侧,5种重金属均具有累积性,Igeo均值显示Cd>As>Pb>Zn>Cu;(3)地块综合潜在风险为极强风险,单项生态风险指数为Cd>As>Pb>Cu>Zn;(4)As、Pb、Cu、Zn存在极显著相关性,Cd与Zn极显著相关,与As、Pb显著相关。研究区土壤污染原因主要为干滩扬尘、地表漫流、废水泄露及渗漏,以及周边历史上尾砂及尾砂填埋影响等。

我国行业间尾部风险溢出的测度及时空驱动因素研究

基于经济金融的共生共荣关系,本文采用LASSO分位数回归构建我国金融与实体行业间的尾部风险网络,利用复杂网络分析法对行业间尾部风险溢出进行测度分析,并从时空两个维度探讨行业尾部风险溢出的驱动因素。研究结果显示,第一,我国经济金融系统中的31个行业形成了“牵一发而动全身”的尾部关联网络,金融行业间、实体行业间以及金融与实体行业之间均存在密切的尾部关联,而且在与实体行业的互动中,金融行业内部存在结构性不平衡。第二,经济金融系统中的风险传染源既可能来自金融行业,也有可能来自实体行业,银行、医药生物、计算机和建筑装饰是经济金融系统中重要的“风险驱动者”。第三,在空间维度上,行业间投入产出关联越密切,其尾部风险溢出水平越高,且相比前向关联,后向关联对行业间尾部风险溢出的解释力更强,即尾部风险主要沿产业链从下游向上游行业进行逆向传导;两两行业间的收益相关性和波动相关性越高,尾部风险溢出越强;行业自身风险水平越高,其接收其他行业的尾部风险溢出越强。在时间维度上,宏观经济环境和融资环境是行业尾部风险溢出动态变化的主要驱动因素。

企业数字化转型与金融市场稳定——基于尾部系统风险视角

数字化转型已成为引领企业迈向高质量发展的新动能,本文以A股上市公司为研究样本,考察企业数字化转型对尾部系统风险的非线性影响。研究发现:企业数字化转型与尾部系统风险间呈现U型关系。数字化转型通过影响信息质量和资金状况作用于个股的尾部系统风险。就信息质量而言,数字化转型与企业信息操弄程度和股价信息含量分别呈现U型和倒U型关系。就资金状况而言,数字化转型将降低企业内部现金充裕度,并增强企业金融投资趋势。此外,数字化转型对尾部系统风险的影响在有数字化研发项目、高管薪酬水平较低、财务风险水平较高、技术密集型行业以及地方金融监管强度较差的企业中更显著。本文为深化企业改革、维护金融市场稳定提供了经验证据。