系统工程理论与实践
繫統工程理論與實踐
계통공정이론여실천
Systems Engineering—Theory & Practice
2014年
8期
1921~1931
,共null页
系统性风险 尾部依赖 Hit检验 Joe—Claytoncopula函数 sV模型
繫統性風險 尾部依賴 Hit檢驗 Joe—Claytoncopula函數 sV模型
계통성풍험 미부의뢰 Hit검험 Joe—Claytoncopula함수 sV모형
systemic risk; tail dependence; Hit test Joy-Clayton conpula SV mnclols
从系统性风险的界定出发，综合考虑系统性风险的两个视角，基于保险公司的股票数据探讨保险业的系统性风险．通过构造Kendall协同系数检验整体依赖性和尾部依赖性，以（非对称）尾部依赖性为切入点，构造SV—t模型和厚尾的SV—GED模型，利用AIC准则和Hit检验法对不同依赖结构的copula模型进行筛选．通过实证分析，检测出中国人寿、中国平安和太平洋保险公司的非对称尾部依赖结构，认为保险业可能成为系统性风险传导链条上的一环，并且完全可能自身隐含和集聚系统性风险．结论部分分析了系统性风险的原因，针对如何降低下尾风险依赖提出政策建议，为我国保险业宏观审慎监管提供一些支持材料．
從繫統性風險的界定齣髮，綜閤攷慮繫統性風險的兩箇視角，基于保險公司的股票數據探討保險業的繫統性風險．通過構造Kendall協同繫數檢驗整體依賴性和尾部依賴性，以（非對稱）尾部依賴性為切入點，構造SV—t模型和厚尾的SV—GED模型，利用AIC準則和Hit檢驗法對不同依賴結構的copula模型進行篩選．通過實證分析，檢測齣中國人壽、中國平安和太平洋保險公司的非對稱尾部依賴結構，認為保險業可能成為繫統性風險傳導鏈條上的一環，併且完全可能自身隱含和集聚繫統性風險．結論部分分析瞭繫統性風險的原因，針對如何降低下尾風險依賴提齣政策建議，為我國保險業宏觀審慎鑑管提供一些支持材料．
종계통성풍험적계정출발，종합고필계통성풍험적량개시각，기우보험공사적고표수거탐토보험업적계통성풍험．통과구조Kendall협동계수검험정체의뢰성화미부의뢰성，이（비대칭）미부의뢰성위절입점，구조SV—t모형화후미적SV—GED모형，이용AIC준칙화Hit검험법대불동의뢰결구적copula모형진행사선．통과실증분석，검측출중국인수、중국평안화태평양보험공사적비대칭미부의뢰결구，인위보험업가능성위계통성풍험전도련조상적일배，병차완전가능자신은함화집취계통성풍험．결론부분분석료계통성풍험적원인，침대여하강저하미풍험의뢰제출정책건의，위아국보험업굉관심신감관제공일사지지재료．
The concept of systemic risk was defined in this paper to test the systemic risk in Chinainsurance market based on stocks data from the two different angles of view. Take tail dependence,by constructing Kendall coordinate coefficient test, as cut-in spot, SV-t models and fat-tail SV-GEDmodels were constructed to fit the data. Based on AIC information rules and Hit test, the appropriatecopula models with different dependence structures were chose. From empirical analysis, unbalance taildependence structure between China Life, Pingan and CPIC is positive, China insurance market wouldtransfer systemic risk as part of a chain and itself may assemble systemic risk. The reason why there existssystemic risk in insurance market, as well as the suggestions on how to reduce the lower tail dependence,was put out. It may contribute to our Macro-prudential Supervision.
