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在全球金融危机期间,澳大利亚经济被广泛地认为较之全球其他经济体表现良好,尽管如此,该国金融市场仍然经历了极端的波动。为了理解澳大利亚新兴经济实体较之成熟经济实体受到此类极端事件影响的程度,本文运用4个风险衡量指标,将新兴企业指数(EMCOX)涵盖范围内的新兴实体和标准普尔/澳大利亚证券交易所200指数涵盖范围内的成熟实体进行了比较。四个风险指标中的前两者是市场及信用风险的传统衡量指标——风险价值(VaR)及违约距离(DD);后两者则关注分布尾部的极端风险,包括条件风险价值(CVaR)和条件违约距离(CDD),其中条件违约距离(CDD)是本文作者独创的,可将条件风险价值技术应用到违约风险的度量中。将这些指标应用于全球金融危机发生之前及危机阶段,便可以发现:所采用的一切指标对于新兴市场股份都显示出更高的风险,在危机阶段新兴企业和成熟企业投资组合之间的价差缩小,违约风险价差在分布尾部处达到最大。这一信息对于投资者和贷款人在极端经济环境下决定其股票或贷款投资组合都具有重要意义。
During the global financial crisis, the Australian economy was widely perceived to be performing better than the rest of the world economy, nevertheless the country’s financial markets were still experiencing extreme volatility. To understand the extent to which emerging economies in Australia are affected by such extreme events than mature economies, this paper uses four risk measures to compare emerging entities covered by EMCOX with the S & P / ASX 200 Mature entities covered by the index are compared. The first two of the four risk indicators are traditional measures of market and credit risk - VaR and DD; the latter two focus on the extreme risk of the distribution tail, including CVaR, And conditional default distance (CDD), of which the CDD was originally created by the author of this article to apply conditional VaR techniques to the default risk measurement. Applying these indicators before and during the global financial crisis can reveal that all the indicators used show a higher risk for emerging market stocks and the spread between emerging and mature business portfolios is narrowing during the crisis phase , The spread of default risk reaches the maximum at the tail of the distribution. This information is of great importance to investors and lenders in determining their stock or loan portfolios under extreme economic conditions.