金融理论与实践
金融理論與實踐
금융이론여실천
Financial Theory and Practice
2015年
9期
26-31
,共6页
条件在险价值法%系统性风险%风险溢出%分位数回归%非参数检验
條件在險價值法%繫統性風險%風險溢齣%分位數迴歸%非參數檢驗
조건재험개치법%계통성풍험%풍험일출%분위수회귀%비삼수검험
Conditions Value at Risk Act (Co-VaR) Method%systemic risk%risk spillovers%quantile regression%nonparametric test
以条件在险价值法和分位数回归法为基础,对我国量化基金市场的系统性风险进行实证分析.研究结果表明,自2013年以来量化基金市场的系统性风险有增加趋势,量化基金对市场风险溢出效应显著但与自身风险不存在高度一致关系,系统性风险取值在各量化基金之间存在差异.以上结果均通过了统计检验,对监管部门监控量化基金市场风险有一定的参考价值.
以條件在險價值法和分位數迴歸法為基礎,對我國量化基金市場的繫統性風險進行實證分析.研究結果錶明,自2013年以來量化基金市場的繫統性風險有增加趨勢,量化基金對市場風險溢齣效應顯著但與自身風險不存在高度一緻關繫,繫統性風險取值在各量化基金之間存在差異.以上結果均通過瞭統計檢驗,對鑑管部門鑑控量化基金市場風險有一定的參攷價值.
이조건재험개치법화분위수회귀법위기출,대아국양화기금시장적계통성풍험진행실증분석.연구결과표명,자2013년이래양화기금시장적계통성풍험유증가추세,양화기금대시장풍험일출효응현저단여자신풍험불존재고도일치관계,계통성풍험취치재각양화기금지간존재차이.이상결과균통과료통계검험,대감관부문감공양화기금시장풍험유일정적삼고개치.
This paper analyzes the systemic risk of quantitative funds in China market based on the Co-VaR and quantile regression methods. The study results show that since 2013, the systemic risk of quantitative funds market has increased. Quantitative funds have significant risk spillover effect for market, but there is no consistent relationship with their own risk. The risk spillover effect is different significantly between different quantitative funds. All of the above results are passed the nonparametric statistical tests. The research can be valuable to the regulators for supervising the risk of quantitative funds market.
