| 摘要: |
| 针对目前金融系统性风险危害大，精准度量难的问题，提出了一种新的度量方法。以Clayton Copula函数测算股票收益率的下尾相关性为基础，将系统性风险定义为每家金融机构发生危机导致整个金融系统也发生危机的加权平均概率。实证分析选取了40家上市金融机构的每日股票对数收益率数据，用K-均值法将40家金融机构分为3类子系统：银行业、证券业、保险业，分别度量每个子系统以及整个金融业的系统性风险。结果表明：近几年来保险业系统性风险最高，银行业其次，证券业最低，但证券业系统性风险波动最剧烈，整个金融业的系统性风险一直处于较高且脆弱的状态，与实际情况相符合。 |
| 关键词: 系统性风险 K-均值法 股票收益率 下尾相关性 |
| DOI： |
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| Research on Systematic Risk Measurement Based on Cluster Analysis |
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WANG Jie， LI Zhi-min
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| Abstract: |
| Aiming at the problem that financial systemic risk is harmful and difficult to measure accurately,a new measurement method is proposed. Based on the tail correlation of stock return calculated by Clayton Copula function,this paper defines systemic risk as the weighted average probability that a crisis in each financial institution causes a crisis in the entire financial system.Empirical analysis chooses 40 listed financial institutions’daily stock logarithmic return data,and divides 40 financial institutions into three subsystems by K-means method: banking,securities and insurance,and measures the systemic risk of each subsystem and the whole financial industry respectively. The results show that ,in recent years,the systemic risk of insurance industry is the highest,followed by banking industry and securities industry is the lowest,but the systemic risk of securities industry fluctuates most dramatically. The systemic risk of the whole financial industry has been in a high and fragile state,which is consistent with the actual situation. |
| Key words: systemic risk K means method stock return rate tail correlation |
