本文關(guān)鍵詞：分層Copula理論在金融系統(tǒng)性風(fēng)險(xiǎn)測(cè)度中的應(yīng)用研究　出處：《重慶理工大學(xué)》2017年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 分層阿基米德Copula VAR VECM ARMA-EGARCH 金融系統(tǒng)性風(fēng)險(xiǎn)

【摘要】：伴隨金融全球化發(fā)展,金融市場(chǎng)結(jié)構(gòu)更加復(fù)雜,各類金融風(fēng)險(xiǎn)也相應(yīng)涌動(dòng)而來(lái),使得全面開(kāi)放的金融業(yè)也呈現(xiàn)出緊密聯(lián)動(dòng)性。如何對(duì)金融系統(tǒng)性風(fēng)險(xiǎn)進(jìn)行有效測(cè)度以預(yù)防危機(jī)發(fā)生,是當(dāng)今學(xué)術(shù)界乃至國(guó)際監(jiān)管部門(mén)所熱切關(guān)注的話題。金融系統(tǒng)性風(fēng)險(xiǎn)的有效測(cè)度與金融機(jī)構(gòu)間的聯(lián)動(dòng)性是密切相關(guān)的。分層Copula能靈活有效地測(cè)度金融機(jī)構(gòu)聯(lián)動(dòng)性。因此,本文從聯(lián)動(dòng)性關(guān)系角度,研究分層Copula函數(shù)在金融系統(tǒng)性測(cè)度中的應(yīng)用。首先,在已有文獻(xiàn)研究的基礎(chǔ)上,厘清金融系統(tǒng)性風(fēng)險(xiǎn)概念、內(nèi)涵、特征,歸納總結(jié)系統(tǒng)性風(fēng)險(xiǎn)測(cè)度理論,對(duì)風(fēng)險(xiǎn)起源、沖擊、傳染機(jī)理及路徑、溢出與擴(kuò)散進(jìn)行分析研究,并對(duì)Copula函數(shù)和時(shí)間序列分析基礎(chǔ)理論進(jìn)行了系統(tǒng)梳理。其次,構(gòu)建ARMA-EGARCH模型與分層阿基米德Copula模型,分析美國(guó)與亞太地區(qū)6只具有代表性的股指間的聯(lián)動(dòng)性;采用兩步極大似然法估計(jì)邊緣分布參數(shù),通過(guò)兩兩逐層分析構(gòu)造指標(biāo)間聯(lián)動(dòng)性系數(shù)及其聯(lián)動(dòng)關(guān)系的分層結(jié)構(gòu)。結(jié)果顯示:美國(guó)與各指標(biāo)間的聯(lián)動(dòng)性最小,金融系統(tǒng)性風(fēng)險(xiǎn)溢出傳染的快慢會(huì)隨二者間的聯(lián)動(dòng)系數(shù)作相應(yīng)變化,業(yè)務(wù)往來(lái)越緊密、頻繁,聯(lián)動(dòng)系數(shù)就相對(duì)越高,傳染速度就越快。再次,在GARCH和分層阿基米德Copula模型下,通過(guò)構(gòu)建金融穩(wěn)定體系,以保費(fèi)收入、保險(xiǎn)賠付支出、保險(xiǎn)資產(chǎn)/金融總資產(chǎn)為保險(xiǎn)業(yè)宏觀經(jīng)濟(jì)形勢(shì),研究保險(xiǎn)業(yè)與金融穩(wěn)定體系間的聯(lián)動(dòng)關(guān)系。在VAR模型基礎(chǔ)上,考慮各指標(biāo)間的協(xié)整關(guān)系及短期內(nèi)的邊際貢獻(xiàn)度。結(jié)果顯示:長(zhǎng)期內(nèi),賠付支出與各指標(biāo)間均為負(fù)聯(lián)動(dòng)性,保險(xiǎn)業(yè)以自身不良狀況產(chǎn)生系統(tǒng)性風(fēng)險(xiǎn),并引發(fā)金融不穩(wěn)定的可能性大小;短期內(nèi)各指標(biāo)對(duì)AFSI均有較小的邊際貢獻(xiàn)效應(yīng),賠付支出對(duì)AFSI有正向邊際貢獻(xiàn),每月有6.7%的短期調(diào)整幅度。一方面以健康險(xiǎn)為例,隨著社會(huì)整體經(jīng)濟(jì)的穩(wěn)定發(fā)展,人們?cè)谛】瞪畹臓顟B(tài)下,會(huì)越來(lái)越注重自身健康,于是會(huì)促進(jìn)保險(xiǎn)業(yè)健康險(xiǎn)的投保增加,保費(fèi)收入也會(huì)進(jìn)一步增多;另一方面,保險(xiǎn)產(chǎn)品自身的長(zhǎng)保障期,致使短期類投保增加,但賠付支出少,所以短時(shí)間內(nèi)會(huì)維持金融體系的進(jìn)一步穩(wěn)定。最后,總結(jié)分析研究成果,并從保險(xiǎn)業(yè)對(duì)金融穩(wěn)定角度進(jìn)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.
【學(xué)位授予單位】：重慶理工大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類號(hào)】：F224;F831.5

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