摘要
通过引入聚类分析的方法,从收益率的相似角度对中央汇金投资机构所持有的20只股票进行了聚类分析,将其重新划分为5个股票板块,建立t-Copula聚类-CoVaR模型,得出了置信度下整个投资情况的系统性条件风险价值,并计算出了当各个板块的股票陷入风险时对投资机构的溢出程度,为注重金融产品风险的投资者和管理者提供了新的风险价值衡量方向。
Through the introduction of cluster analysis and from the perspective of return similarity,this research completed a cluster analysis of 20 stocks held by the Central Huijin Investment Institution,re-dividing them into five new stock sectors,establishing a t-copula cluster Covar model,and obtaining the systemic conditional value at risk of the whole investment situation under each confidence.It also calculated the spillover degree to institutions when the stocks of each sector fell into risk,which provided a new direction to measure the value at risk for investors and managers who pay attention to the risk of financial products.
作者
刘明成
LIU Mingcheng(College of Mathematics and Statistics,Chongqing Technology and Business University,Chongqing 400067,China;Chongqing Key Laboratory of Social Economic and Applied Statistics,Chongqing Technology and Business University,Chongqing 400067,China)
出处
《苏州市职业大学学报》
2021年第4期29-34,共6页
Journal of Suzhou Vocational University
基金
国家社科基金项目(19BTJ020)。
