基于正则藤Copula的行业系统性信用风险传染分析

发布时间：2018-05-16 15:27

本文选题：CCA + 信用风险　；参考：《工业技术经济》2016年06期

【摘要】：本文利用国民经济中九大门类行业相关数据,将度量行业信用风险的CCA方法加以改进,并构建正则藤Copula模型,揭示了样本行业间信用风险的非线性相依结构及信用风险传染路径。实证结果显示:各行业信用风险水平不一,但都较好地拟合了实际经济;任意两行业间无条件信用风险大多表现为下尾相关性,但条件信用风险的尾部相关性总体较弱;国民经济行业体系中存在加剧和减缓行业信用风险传染的"风险催化行业"和"条件隔离行业"。最后,提出了有效控制系统性金融风险、防范金融危机的措施建议。
[Abstract]:In this paper, we improve the CCA method to measure the credit risk of the industry by using the relevant data of nine major industries in the national economy, and construct the canonical Copula model. The nonlinear dependent structure of credit risk among sample industries and the contagion path of credit risk are revealed. The empirical results show that the level of credit risk in different industries is different, but all of them fit well with the actual economy; the unconditional credit risk between any two industries mostly shows lower tail correlation, but the tail correlation of conditional credit risk is generally weak; In the system of national economy, there are "risk catalytic industries" and "conditional isolation industries" which aggravate and mitigate the contagion of industry credit risk. Finally, the paper puts forward some measures to effectively control systemic financial risk and prevent financial crisis.
【作者单位】：南京工业大学;南京航空航天大学;
【基金】：国家自然科学基金项目(项目编号:71401074) 江苏省哲学社会科学基金重点项目(项目编号:14GLA003) 江苏省高校研究生科研创新计划项目(项目编号:KYZZ_0099)
【分类号】：F124;F832;F224

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