重庆理工大学学报（自然科学版）2018，Vol.32Issue(4)：212-218,7.DOI:10.3969/j.issn.1674-8425(z).2018.04.032
我国金融行业间系统性风险外溢效应研究——基于R-vine Copula方法
Study on Systemic Risk Spillover Effect Between China's Financial Industry:Based on R-Vine Copula Method
摘要
Abstract
Based on the Copula theory,this paper constructs a GJR-GARCH-Copula model and uses the stock data of 30 financial institutions listed in mainland China.It obtains the joint probability distribution of the four sub-sectors under the financial industry,banking,securities,insurance and trust through the R-vine structure,and measures the systemic risk spillover effect among them.It is found that R-vine has a better fitting effect than the widely used C-vine and D-vine structures,and it can more flexibly show the correlation between financial institutions.And there exists significant asymmetric risk transfer among banks,securities,insurance and trusts,which the banking sector has the greatest impact on the other three industries and is the largest source of risk.Finally,some suggestions on controlling systematic risk and preventing risk spillover are put forward.关键词
R-vine Copula/系统性风险/金融子市场/风险测度Key words
R-vine Copula/systemic risk/financial submarket/risk measurement分类
管理科学引用本文复制引用
吴永,马浩..我国金融行业间系统性风险外溢效应研究——基于R-vine Copula方法[J].重庆理工大学学报（自然科学版）,2018,32(4):212-218,7.基金项目
国家社会科学基金资助项目(14BJY200) （14BJY200）
