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A Study on Regional Financial Risks Based on CoCVaR Model

机译:基于COCVAR模型的区域金融风险研究

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摘要

For the purpose of accurate measurement of regional systemic financial risks and prevention of regional economic turmoil, this paper proposes a new measure called the CoCVaR model, based on the tail mean loss, which is applied to measure the impact of stock returns of each listed company on the overall stock returns in Guangdong Province, China, from January 2010 to December 2020. It is found that there are significant CoVaR and CoCVaR for real estate, finance, utilities, and energy companies, while the risk spillover to the real economy market in Guangdong Province is more significant when companies in these industries are in extreme situations. There are insignificant CoCVaR for daily consumption, information technology, and health care. The risk spillover to the real economy market in Guangdong Province is smaller when companies in these industries are in crisis.
机译:为准确测量区域全身金融风险和防止区域经济动荡,本文提出了一种称为COCVAR模型的新措施,基于尾均值损失,该措施适用于衡量每个上市公司的股票回报的影响 从2010年1月到2020年12月,中国广东省总体股票回报率。发现有重要的COVAR和CoCVAR用于房地产,金融,公用事业和能源公司,而实体经济市场的风险溢出 当这些行业的公司处于极端情况时,广东省更重要。 每日消费,信息技术和医疗保健都有微不足道的COCVAR。 这些行业在危机中的公司时,广东省真正经济市场的风险溢出较小。

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