GARCH-CoVaR在中国上市保险公司系统风险计量中的应用

2019 International Conference on Economic Management and Model Engineering (ICEMME) Pub Date : 2019-12-01 DOI:10.1109/ICEMME49371.2019.00105

Jiaxi Wu

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引用次数: 0

摘要

2008年次贷危机后，随着保险业的快速发展和与金融市场的不断密切接触，保险业继而产生系统性风险。本文根据中国保险业的实际情况，选取五家上市保险公司的股票收益作为研究对象，运用GARCH-CoVaR方法对系统风险进行测度和排序。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Application of GARCH-CoVaR in Systematic Risk Measurement of Listed Insurance Companies in China

After the subprime crisis in 2008, with the rapid development of the insurance industry and the continuous close contact with the financial market, the insurance industry and then generate systemic risk. Based on the actual situation of China's insurance industry, this paper selects the stock returns of five listed insurance companies as the object, and measures and ranks the systematic risks with GARCH-CoVaR method.

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来源期刊

2019 International Conference on Economic Management and Model Engineering (ICEMME)

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