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In this paper, we investigate the risk dependence structure problem of the rate of return series in China stock market between Shanghai Shenzhen 300 index and the portfolio index of ETFs using mixture copula approach. The portfolio index of ETFs is formulated through a combination of Shanghai 180 ETF, Shanghai 50 ETF and Shenzhen 100 ETF. Five elementary copulas family are used to construct the mixture...
Based on the model of Duffie & Singleton (1999), this paper constructs a simpler reduced-form model of credit risk pricing. The result shows that, the model largely simplifies the calculation process of the traditional reduced-form model without affecting calculation accuracy. Lastly, empirical studies on credit spreads of risk bonds are made using the data of the Chinese bond market, which fairly...
This paper examines the structure of dependence in Europe and in Asia international exchange rate markets using extreme value theory and copula functions. We nest copula function to construct the joint distribution so that the linear correlation coefficient, which is the far most used measure to test dependence in financial community, can be well represented by nonlinear dependent construction. And...
As one of the seven loss types of operational risk presented by the new Basel Accord, internal fraud is a significant risk source for the banking industry in China, it maybe the most important source among the sources of people, process, systems and external events of operational risk in China. This paper evaluates the internal fraud risk and the corresponding economic capital for medium scale Chinese...
It is very important to measure cash flow risks for the non-life insurance industry, especially in China. A couple of risk measures named cash flow expected shortfall (ES) and cash flow non-recovery ratio (NRR) are proposed based on several assumptions. Therefore monthly premiums and claims of Chinese insurance industry are fitted by seasonal autoregressive integrated moving average model (SARIMA)...
According to the new risk asset pricing theory, individual stock price volatility can increase investors' required return, so it can affect the company's cost of equity capital. This study investigates the effect of stock price volatility on listed companies' financing behavior in China, and finds that the listed companies' stock price volatility has obvious effect on its financing decision; and the...
Standard asset pricing models suggest that only systematic risk factors affect the expected returns of stocks. Using the data of Chinese stock markets from 2000 to 2006, this paper estimates the default risks implied in stock prices by structure model, tests whether the expected returns of stocks are related with implied default risks, and examines whether the default risk is a systematic risk factor...
Copulas are extremely versatile, and can be used as an analytical tool in a broad range of financial situations such as risk estimation, credit modeling, pricing derivatives, and portfolio management. The literature on copula is mostly devoted to probabilistic theory, to inference methods or to applications in financial risk management. The thesis presents a combination of these three aspects.
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