论文标题
测量系统性风险：常见因素暴露和尾部依赖效应
Measuring Systemic Risk: Common Factor Exposures and Tail Dependence Effects
论文作者
论文摘要
我们使用一个共同的因素对系统性风险进行建模，该因素解释了市场范围内的冲击和尾巴依赖因素，该因素是极端股票回报之间联系的。具体而言，我们的理论模型允许对不频繁和极端事件的特定于公司的影响。使用1996年至2011年美国金融行业四个部门的数据，我们发现了两个主要的经验发现。首先，忽略尾部依赖因子的影响会导致衡量系统性风险的下降偏见，尤其是在经济疲软时期。其次，当这些措施作为圣路易斯提出财务压力指数的主要指标时，包括尾巴依赖因子的措施比仅基于共同因素的措施提供了更好的预测能力。
We model systemic risk using a common factor that accounts for market-wide shocks and a tail dependence factor that accounts for linkages among extreme stock returns. Specifically, our theoretical model allows for firm-specific impacts of infrequent and extreme events. Using data on the four sectors of the U.S. financial industry from 1996 to 2011, we uncover two key empirical findings. First, disregarding the effect of the tail dependence factor leads to a downward bias in the measurement of systemic risk, especially during weak economic times. Second, when these measures serve as leading indicators of the St. Louis Fed Financial Stress Index, measures that include a tail dependence factor offer better forecasting ability than measures based on a common factor only.
