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

机译：GARCH-CoVaR在中国上市保险公司系统风险评估中的应用

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摘要

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.

机译：在2008年次贷危机之后，随着保险业的快速发展和与金融市场的不断密切联系，保险业继而产生系统性风险。根据中国保险业的实际情况，以五家上市保险公司的股票收益为对象，运用GARCH-CoVaR方法对系统性风险进行度量和排序。

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来源
《International Conference on Economic Management and Model Engineering》|2019年|501-504|共4页
会议地点 Malacca(MY)
作者
Jiaxi Wu;
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作者单位

Nanhu campus of Wuhan university of technology;

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会议组织
原文格式 PDF
正文语种
中图分类
关键词
autoregressive processes; insurance; risk management; stock markets;

机译：自回归过程；保险;风险管理;股市;

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1. An Empirical Study on the Equity Performance of China's Health Insurance Companies During the COVID-19 Pandemic—Based on Cases of Dominant Listed Companies [J] . Rendao Ye, Na An, Yichen Xie, Frontiers in Public Health . 2021,第a期

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2. Research On The Relationship Among Over-investment, Audit Quality And Corporate Risk Of Listed Companies Based On Big Data——Based on the Empirical data of listed companies in China [J] . Zhao Tiantian E3S Web of Conferences . 2021,第a期

机译：基于大数据的上市公司的过度投资，审计质量和企业风险关系研究 - 基于中国上市公司的经验数据
3. Studies of Discriminant Analysis and Logistic Regression Model Application in Credit Risk for China’s Listed Companies [J] . Konglai ZHU, Jingjing LI Management Science and Engineering . 2010,第4期

机译：中国上市公司信用风险的判别分析与逻辑回归模型应用研究
4. Application of GARCH-CoVaR in Systematic Risk Measurement of Listed Insurance Companies in China [C] . Jiaxi Wu International Conference on Economic Management and Model Engineering . 2019

机译：GARCH-COVAR在中国上市保险公司系统风险测量中的应用
5. Measuring and modeling market risk for life insurance company assets: An application of extreme value statistics [D] . Timmer, Ryan. 2015

机译：衡量和建模市场风险终身保险公司资产：极值统计的应用
6. An Empirical Study on the Equity Performance of Chinas Health Insurance Companies During the COVID-19 Pandemic—Based on Cases of Dominant Listed Companies [O] . Rendao Ye, Na An, Yichen Xie, 2021

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7. The Estimated Value Study on Insurance Companies: A Investment Opportunity Analysis of Listed Insurance Companies in the A-Shares Market of China [O] . 陈小红 2012

机译：保险公司估值研究：中国A股市场上市保险公司的投资机会分析

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

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