發(fā)布時(shí)間：2018-01-05 04:08

  本文關(guān)鍵詞：分層Copula理論在金融系統(tǒng)性風(fēng)險(xiǎn)測度中的應(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,金融市場結(jié)構(gòu)更加復(fù)雜,各類金融風(fēng)險(xiǎn)也相應(yīng)涌動而來,使得全面開放的金融業(yè)也呈現(xiàn)出緊密聯(lián)動性。如何對金融系統(tǒng)性風(fēng)險(xiǎn)進(jìn)行有效測度以預(yù)防危機(jī)發(fā)生,是當(dāng)今學(xué)術(shù)界乃至國際監(jiān)管部門所熱切關(guān)注的話題。金融系統(tǒng)性風(fēng)險(xiǎn)的有效測度與金融機(jī)構(gòu)間的聯(lián)動性是密切相關(guān)的。分層Copula能靈活有效地測度金融機(jī)構(gòu)聯(lián)動性。因此,本文從聯(lián)動性關(guān)系角度,研究分層Copula函數(shù)在金融系統(tǒng)性測度中的應(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)測度理論,對風(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,分析美國與亞太地區(qū)6只具有代表性的股指間的聯(lián)動性;采用兩步極大似然法估計(jì)邊緣分布參數(shù),通過兩兩逐層分析構(gòu)造指標(biāo)間聯(lián)動性系數(shù)及其聯(lián)動關(guān)系的分層結(jié)構(gòu)。結(jié)果顯示:美國與各指標(biāo)間的聯(lián)動性最小,金融系統(tǒng)性風(fēng)險(xiǎn)溢出傳染的快慢會隨二者間的聯(lián)動系數(shù)作相應(yīng)變化,業(yè)務(wù)往來越緊密、頻繁,聯(lián)動系數(shù)就相對越高,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,研究保險(xiǎn)業(yè)與金融穩(wěn)定體系間的聯(lián)動關(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:長期內(nèi),賠付支出與各指標(biāo)間均為負(fù)聯(lián)動性,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AFSI均有較小的邊際貢獻(xiàn)效應(yīng),賠付支出對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,隨著社會整體經(jīng)濟(jì)的穩(wěn)定發(fā)展,人們在小康生活的狀態(tài)下,會越來越注重自身健康,于是會促進(jìn)保險(xiǎn)業(yè)健康險(xiǎn)的投保增加,保費(fèi)收入也會進(jìn)一步增多;另一方面,保險(xiǎn)產(chǎn)品自身的長保障期,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)位級別】：碩士
【學(xué)位授予年份】：2017
【分類號】：F224;F831.5

【參考文獻(xiàn)】

相關(guān)期刊論文 前10條

1 方意;鄭子文;;系統(tǒng)性風(fēng)險(xiǎn)在銀行間的傳染路徑研究——基于持有共同資產(chǎn)網(wǎng)絡(luò)模型[J];國際金融研究;2016年06期

2 蔡彤彤;王世文;;滬市與香港、美國股票市場間的聯(lián)動性——基于“滬港通”實(shí)施前后的比較分析[J];財(cái)會月刊;2015年14期

3 謝遠(yuǎn)濤;蔣濤;楊娟;;基于尾部依賴的保險(xiǎn)業(yè)系統(tǒng)性風(fēng)險(xiǎn)度量[J];系統(tǒng)工程理論與實(shí)踐;2014年08期

4 張連增;胡祥;;基于分層阿基米德Copula的金融時(shí)間序列的相關(guān)性分析[J];統(tǒng)計(jì)與信息論壇;2014年06期

5 郭紅兵;;中國金融穩(wěn)定測度、預(yù)測及對策[J];上海金融;2014年04期

6 張亮;許愛萍;李樹生;梁朝暉;;金融體系“系統(tǒng)風(fēng)險(xiǎn)”的理論辨析——與“系統(tǒng)性風(fēng)險(xiǎn)”的區(qū)別與聯(lián)系[J];金融理論與實(shí)踐;2013年08期

7 杜子平;高立寶;;國際股票市場金融危機(jī)傳染路徑實(shí)證分析[J];商業(yè)時(shí)代;2013年13期

8 趙桂芹;吳洪;;保險(xiǎn)體系的系統(tǒng)風(fēng)險(xiǎn)相關(guān)性評價(jià):一個(gè)國際視角[J];保險(xiǎn)研究;2012年09期

9 宮曉琳;;未定權(quán)益分析方法與中國宏觀金融風(fēng)險(xiǎn)的測度分析[J];經(jīng)濟(jì)研究;2012年03期

10 丁庭棟;趙曉慧;;不同行業(yè)與金融系統(tǒng)的波動溢出效應(yīng)分析[J];統(tǒng)計(jì)與決策;2012年03期

相關(guān)博士學(xué)位論文 前2條

1 麥強(qiáng)盛;基于宏觀審慎監(jiān)管的銀行業(yè)系統(tǒng)性風(fēng)險(xiǎn)研究[D];暨南大學(xué);2011年

2 董青馬;開放條件下銀行系統(tǒng)性風(fēng)險(xiǎn)生成機(jī)制研究[D];西南財(cái)經(jīng)大學(xué);2008年

相關(guān)碩士學(xué)位論文 前1條

1 蓋曦;基于銀行同業(yè)拆借市場網(wǎng)絡(luò)模型的我國商業(yè)銀行系統(tǒng)性風(fēng)險(xiǎn)傳導(dǎo)機(jī)制研究[D];安徽財(cái)經(jīng)大學(xué);2014年

，

本文編號：1381481