摘要
Abstract
Small and medium-sized enterprises (SMEs) are the main drivers for the continuous development of a national economy.Financing has always been a challenge to SMEs. SMEs often resort to forming the Board of Directors to help improve financial capability. Current research on SME Boards of Directors mostly focuses on market structure, price difference, market liquidity,volatility, and yield relationships. However, much less attention has been paid to the extreme risk measurement of SME Boards. The paper applies the extreme POT model and VaR model to investigate extreme risks in SME Boards. We collected the data of 992-sized stock daily closing prices from Tsinghua Financial Data from December 1, 2005 to December 28, 2009.First, we adopted an exponential regression model to choose the threshold values of the POT model. The model simulated the tail distributions in SME stock markets. We then combined our VaR model with our POT model to appraise the extreme risk in SME stock markets, and compared these two models with respect to their normal distribution. In the first section, we employed POT model to simulate the tail distribution in SME Board. Threshold selection is the key for estimating parameters in our POT model. Due to the uncertainty of threshold selection in Hill figure, the exponential regression model is an effective way to select threshold values of POT model.Excess Distribution and Tail of Underlying Distribution are diagnostic plots to describe the POT model fit. POT appears to fit the tail distribution of data fairly well. The second section discussed the VaR model to estimate the extreme risks of SME Boards. Our VaR model measured the size of extreme risks and verified that combining VaR model with POT model is more efficient than a normallydistributed model. We also found that traditional risk measures based on the normal distribution sometimes overestimates risks.However, it is difficult to test LR statistics because normal distribution assumptions do not reflect pinnacles and fat-tails in the distribution of asset returns.In summary, our POT model with exponential regression method can effectively measure the extreme risk in SME Board. The SME stock market is a key for constructing the multilayer capital market system. Therefore, accurate depiction of SME stock market risks has significant reference values.关键词
指数回归模型/POT模型/风险价值/LR统计量Key words
exponential regression model/ POT model/ value-at-risk/ LR estimator分类
管理科学
