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Based on the model and applied research on the copula approach financial crisis contagion

Author: ChenZuoBo
Tutor: TianYiXiang
School: University of Electronic Science and Technology
Course: Quantitative Economics
Keywords: Copula Financial crisis Risk infection Non-linear test Measure the degree of infection
CLC: F830
Type: Master's thesis
Year: 2009
Downloads: 550
Quote: 6
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Abstract


With economic globalization and the growing financial liberalization, especially in financial innovation and the rapid development of information technology, eruption of financial crisis has been increasingly frequent. Since the 90’s of the 20th century, worldwide financial crisis has appeared different characteristics from the past, that is, the risk of infectious. Current researches of the risk of infection of the financial crisis has been mostly focusing on testing the existence of the risk of infection, but there are two major deficiencies of such research methods: first, ignored the related structures and other related model studies between the market such as the non-linear, non-symmetric and the tail relevance; second, can only point out the existence of the risk of infection but can not give the size of the extent of the risk of infection, which risk managers and investors are more the focusing on. Solving the lack of the above two aspects is the key issues of this paper in order to study the risk to the financial crisis spread more comprehension and in-depth.Consideration of the features and advantages of Copula methods, we bring it into the study of the risk infection. First of all, we summarize the research status at home and abroad of the risk infection of the financial crisis and Copula theory systematically, and then introduce the related content, including definition, characteristic of the Copula method, and favorite Copula functions, series of the relative indicators educed by Copula functions , as well as parameter estimation of Copula functions. And then, we bring the Copula Theory into the study of the risk infection of the financial crisis, proposing a non-linear method to test the risk infection of the financial crisis and testing whether China and international Stock Markets suffered U.S. debt crisis meeting. Empirical results show the test method of the risk infection of the financial crisis based on Copula model is an effective method.Finally, we make up a model based on copula method to measure the risk infection of the financial crisis, and do an empirical study on U.S. debt crisis meeting. The results show this model can measure the risk infection of the financial crisis quite accurately, and this is the most important research contribution. This model solves the difficulty in current researches of measuring the degree of the risk infection, which risk managers and investors are more the focusing on, enriches and perfects existing study system of the risk infection of the financial crisis, has quite academic and practical meaning.

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CLC: > Economic > Fiscal, monetary > Finance, banking > Finance, banking theory
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