分层Copula理论在金融系统性风险测度中的应用研究

发布时间：2018-01-05 04:08

本文关键词：分层Copula理论在金融系统性风险测度中的应用研究　出处：《重庆理工大学》2017年硕士论文　论文类型：学位论文

【摘要】：伴随金融全球化发展,金融市场结构更加复杂,各类金融风险也相应涌动而来,使得全面开放的金融业也呈现出紧密联动性。如何对金融系统性风险进行有效测度以预防危机发生,是当今学术界乃至国际监管部门所热切关注的话题。金融系统性风险的有效测度与金融机构间的联动性是密切相关的。分层Copula能灵活有效地测度金融机构联动性。因此,本文从联动性关系角度,研究分层Copula函数在金融系统性测度中的应用。首先,在已有文献研究的基础上,厘清金融系统性风险概念、内涵、特征,归纳总结系统性风险测度理论,对风险起源、冲击、传染机理及路径、溢出与扩散进行分析研究,并对Copula函数和时间序列分析基础理论进行了系统梳理。其次,构建ARMA-EGARCH模型与分层阿基米德Copula模型,分析美国与亚太地区6只具有代表性的股指间的联动性;采用两步极大似然法估计边缘分布参数,通过两两逐层分析构造指标间联动性系数及其联动关系的分层结构。结果显示:美国与各指标间的联动性最小,金融系统性风险溢出传染的快慢会随二者间的联动系数作相应变化,业务往来越紧密、频繁,联动系数就相对越高,传染速度就越快。再次,在GARCH和分层阿基米德Copula模型下,通过构建金融稳定体系,以保费收入、保险赔付支出、保险资产/金融总资产为保险业宏观经济形势,研究保险业与金融稳定体系间的联动关系。在VAR模型基础上,考虑各指标间的协整关系及短期内的边际贡献度。结果显示:长期内,赔付支出与各指标间均为负联动性,保险业以自身不良状况产生系统性风险,并引发金融不稳定的可能性大小;短期内各指标对AFSI均有较小的边际贡献效应,赔付支出对AFSI有正向边际贡献,每月有6.7%的短期调整幅度。一方面以健康险为例,随着社会整体经济的稳定发展,人们在小康生活的状态下,会越来越注重自身健康,于是会促进保险业健康险的投保增加,保费收入也会进一步增多;另一方面,保险产品自身的长保障期,致使短期类投保增加,但赔付支出少,所以短时间内会维持金融体系的进一步稳定。最后,总结分析研究成果,并从保险业对金融稳定角度进行了展望。
[Abstract]:With the development of financial globalization, the structure of financial market is more complex, and all kinds of financial risks come. So that the overall opening of the financial industry also presents a close linkage. How to effectively measure the financial systemic risk in order to prevent the occurrence of crisis. The effective measurement of financial systemic risk is closely related to the linkage between financial institutions. Hierarchical Copula can measure finance flexibly and effectively. Institutional linkage. So... This paper studies the application of hierarchical Copula function in the measurement of financial system from the angle of linkage relationship. Firstly, on the basis of the existing literature, it clarifies the concept, connotation and characteristics of financial systemic risk. Summarize the theory of systematic risk measurement, analyze the origin of risk, impact, infection mechanism and path, spillover and diffusion. The basic theories of Copula function and time series analysis are systematically combed. Secondly, the ARMA-EGARCH model and the hierarchical Archimedes Copula model are constructed. This paper analyzes the linkage between the six representative stock indexes in the United States and the Asia-Pacific region. The two-step maximum likelihood method is used to estimate the marginal distribution parameters, and the hierarchical structure of the linkage coefficient and the linkage relationship between the indexes is analyzed layer by layer. The results show that the linkage between the United States and each index is the least. The speed of financial systemic risk spillover contagion will change with the linkage coefficient between them. The closer and more frequent the business transaction, the higher the linkage coefficient is, and the faster the infection speed is. Under the GARCH and Copula model, the insurance macro-economic situation is defined as insurance premium income, insurance payout and insurance assets / total financial assets through the construction of financial stability system. This paper studies the linkage relationship between insurance and financial stability system. On the basis of VAR model, the cointegration relationship among the indicators and the marginal contribution in the short term are considered. The results show that: in the long run. The indemnity expenditure and each index are all negative linkage, the insurance industry produces the systemic risk by its own bad condition, and causes the financial instability the possibility magnitude; In the short term, each index has a small marginal contribution to AFSI, and the payout has a positive marginal contribution to AFSI, with a short-term adjustment range of 6.7% per month. On the one hand, health insurance is taken as an example. With the stable development of social economy, people will pay more and more attention to their own health under the condition of well-off life, so they will promote the insurance of insurance health insurance increase, premium income will also further increase; On the other hand, the long guarantee period of the insurance product itself causes the short-term insurance to increase, but the payment of compensation is small, so it will maintain the further stability of the financial system in a short period of time. Finally, summarize the research results. And from the insurance industry to financial stability perspective.
【学位授予单位】：重庆理工大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F224;F831.5

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