中国证券公司系统性风险测度及演化特征研究——来自20家上市证券公司的数据

doi:10.16381/j.cnki.issn1003-207x.2019.05.002

Abstract

Abstract: The crash of China's stock market in 2015 has aroused great attention to the systemic risk of securities market and especially securities companies. Under prudential supervision, accurate measurement of systemic risk and identification of risk evolution characteristics is the primary link to carry out effective supervision on securities companies. In this paper, by utilizing the SCCA technology, Gumbel Copula model is built to describe the risk dependence structure of different securities companies, and overcome the difficulty of boundary approximation in simulation by modifying the monitoring index J-VaR. The stock price and balance sheet data from 20 listed securities companies ranging from 2011-2016 are collected to measure the systemic risk of China's securities companies. Then the evolution characteristics of systemic risk is analyzed from the aspects of both micro level (i.e. risk of individual securities companies) and macro level (i.e. risk of the entire securities company system). Results show that there tends to be precursory fluctuations before large-scale outbreak. It is found that systematic risk has the characteristics of "steep rise and slow drop", and multiple shocks during the conducting period have great destructive power. The research findings provide suggestions for systemic risk regulation on securities companies.

Key words: systemic risk, securities companies, risk measurement, evolution characteristics, SCCA technology

CLC Number:

F832

LIU Chao, LI Yuan-rui, JIANG Chao, MA Yu-jie, LIU Chen-qi, XIE Qi-wei. Research on Systematic Risk Measurement and Evolution Characteristics of China's Securities Companies——Empirical Data from 20 Listed Securities Companies[J]. Chinese Journal of Management Science, 2019, 27(5): 11-22.

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Research on Systematic Risk Measurement and Evolution Characteristics of China's Securities Companies——Empirical Data from 20 Listed Securities Companies

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