基于尾部指数回归的动态系统性尾部风险度量

doi:10.3969/j.issn.0253-2778.2020.02.013

中国科学技术大学学报 ›› 2020, Vol. 50 ›› Issue (2): 176-184.DOI: 10.3969/j.issn.0253-2778.2020.02.013

基于尾部指数回归的动态系统性尾部风险度量

叶五一，李伊薇，吴遵

1.中国科学技术大学管理学院统计与金融系，安徽合肥 230026;2.中国科学技术大学国际金融研究院，安徽合肥 230601

收稿日期:2019-03-07 修回日期:2019-04-09 接受日期:2019-04-09 出版日期:2020-02-28 发布日期:2019-04-09
通讯作者: 叶五一
作者简介:叶五一（通讯作者），男，1979 年生，博士/副教授.研究方向：风险管理，金融工程. E-mail：wyye@ustc.edu.cn
基金资助:
国家自然科学基金（71001095）资助.

Dynamic systematic tail risk measurement based on tail index regression

YE Wuyi, LI Yiwei, WU Zun

1.Department of Statistics and Finance, School of Management, University of Science and Technology of China, Hefei 230026, China； 2.International Institute of Finance, University of Science and Technology of China, Hefei 230601, China

Received:2019-03-07 Revised:2019-04-09 Accepted:2019-04-09 Online:2020-02-28 Published:2019-04-09

摘要/Abstract

摘要： 基于回归模型，考虑市场波动率指数（volatility index, VIX）对尾部指数的影响，研究了尾部指数与系统性尾部风险系数之间的关系，并构造了时变动态系统性尾部风险系数模型.基于该模型，研究了八个国家的代表股指的CVaR和时变动态系统性尾部风险系数.结果发现，在金融危机期间，全球市场的尾部风险显著增加；中国、日本、俄罗斯、印度，法国和英国的代表股指的系统性尾部风险小于全球市场的，而美国和德国的较高.

关键词: 波动率指数, 尾部指数回归, 条件在险价值, 系统性尾部风险

Abstract: The impact of the （volatility index,VIX) on the tail index was considered based on the regression model. The relationship between the tail index and the systematic tail risk coefficient was studied and a time-varying dynamic systematic tail risk coefficient model was established. Based on the model, the CVaR and the time-varying tail systematic tail risk coefficient of typical stock indices of eight countries were studied. The results show that during the financial crisis, the tail risk of the global market had increased significantly. The systematic tail risks of typical stock indices of China, Japan, Russia, India, France, and England were less than those of the global market, while those of the United States and Germany were higher.

Key words: volatility index, tail index regression, CVaR, systematic tail risk

中图分类号:

F831

叶五一，李伊薇，吴遵. 基于尾部指数回归的动态系统性尾部风险度量[J]. 中国科学技术大学学报, 2020, 50(2): 176-184.

YE Wuyi, LI Yiwei, WU Zun. Dynamic systematic tail risk measurement based on tail index regression[J]. Journal of University of Science and Technology of China, 2020, 50(2): 176-184.

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基于尾部指数回归的动态系统性尾部风险度量

Dynamic systematic tail risk measurement based on tail index regression

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