Mathematical modelling of enterprise financial risk assessment based on risk conduction model
Publié en ligne: 15 déc. 2021
Pages: 591 - 600
Reçu: 16 juin 2021
Accepté: 24 sept. 2021
© 2021 Hu and Muwafak, published by Sciendo
This work is licensed under the Creative Commons Attribution 4.0 International License.
The estimation results of the joint asymmetric MVMQ-CAViaR model
Bank-securities |
Bank- insurance |
Securities-insurance |
c1 |
0.001 |
-0.045 |
c1 |
-0.001 |
-0.034 |
c1 |
-0.021 |
-0.04 |
a11 |
-0.04 |
-0.053 |
a11 |
-0.035 |
-0.02 |
a11 |
0.023 |
-0.015 |
a12 |
-0.173 |
-0.12 |
a12 |
-0.134 |
-0.044 |
a12 |
-0.075 |
-0.041 |
d11 |
-0.032 |
-0.033 |
d11 |
0.015 |
-0.02 |
d11 |
-0.03 |
-0.048 |
d12 |
-0.053 |
-0.056 |
d12 |
-0.072 |
-0.033 |
d12 |
-0.084 |
-0.045 |
e1 |
-0.081 |
-0.066 |
e1 |
-0.078 |
-0.05 |
e1 |
0.003 |
-0.013 |
b11 |
0.847 |
-0.023 |
b11 |
0.839 |
-0.009 |
b11 |
0.869 |
-0.06 |
b12 |
-0.013 |
-0.015 |
b12 |
-0.024 |
-0.016 |
b12 |
-0.016 |
-0.011 |
c2 |
-0.013 |
-0.034 |
c2 |
-0.032 |
-0.033 |
c2 |
-0.004 |
-0.109 |
a21 |
0.004 |
-0.045 |
a21 |
0.013 |
-0.029 |
a21 |
-0.08 |
-0.062 |
a22 |
-0.178 |
-0.047 |
a22 |
-0.093 |
-0.062 |
a22 |
-0.04 |
-0.09 |
d21 |
-0.012 |
-0.025 |
d21 |
-0.022 |
-0.017 |
d21 |
0.106 |
-0.095 |
d22 |
-0.062 |
-0.048 |
d22 |
-0.046 |
-0.058 |
d22 |
-0.140 |
-0.084 |
e2 |
-0.123 |
-0.074 |
e2 |
-0.095 |
-0.071 |
e2 |
-0.011 |
-0.033 |
b21 |
-0.028 |
-0.016 |
b21 |
-0.023 |
-0.011 |
b21 |
0.093 |
-0.09 |
b22 |
0.851 |
-0.017 |
b22 |
0.820 |
-0.013 |
b22 |
0.862 |
-0.092 |
Descriptive statistical results of the sample
Plate |
Mean |
Max |
Minimum |
Kurtosis |
JB inspection |
ADF value |
bank |
0.026 |
9.551 |
-10.506 |
6.32 |
0 |
0 |
Securities |
0.033 |
9.531 |
-10.537 |
4.685 |
0 |
0 |
Insurance |
-0.006 |
9.545 |
-10.536 |
5.196 |
0 |
0 |
Estimated results of the asymmetric MVMQ-CAViaR model
Bank-securities |
Bank- insurance |
Securities-insurance |
c1 |
0.082 |
-0.245 |
c1 |
-0.013 |
-0.027 |
c1 |
-0.003 |
-0.023 |
a11 |
-0.058 |
-0.055 |
a11 |
-0.047 |
-0.03 |
a11 |
0.016 |
-0.013 |
a12 |
-0.178 |
-0.106 |
a12 |
-0.129 |
-0.078 |
a12 |
-0.072 |
-0.03 |
d11 |
-0.039 |
-0.035 |
d11 |
0.02 |
-0.026 |
d11 |
-0.011 |
-0.04 |
d12 |
-0.076 |
-0.128 |
d12 |
-0.052 |
-0.049 |
d12 |
-0.067 |
-0.04 |
b11 |
0.824 |
-0.112 |
b11 |
0.856 |
-0.011 |
b11 |
0.865 |
-0.022 |
b12 |
0.078 |
-0.182 |
b12 |
-0.005 |
-0.021 |
b12 |
0.018 |
-0.013 |
c2 |
-0.666 |
-0.419 |
c2 |
-0.025 |
-0.041 |
c2 |
-0.037 |
-0.032 |
a21 |
0.029 |
-0.147 |
a21 |
0.007 |
-0.049 |
a21 |
-0.019 |
-0.038 |
a22 |
-0.065 |
-0.043 |
a22 |
-0.073 |
-0.055 |
a22 |
0.028 |
-0.031 |
d21 |
-0.026 |
-0.02 |
d21 |
-0.054 |
-0.061 |
d21 |
0.001 |
-0.051 |
d22 |
-0.086 |
-0.029 |
d22 |
-0.038 |
-0.035 |
d22 |
-0.113 |
-0.069 |
b21 |
0.037 |
-0.022 |
b21 |
-0.015 |
-0.011 |
b21 |
-0.001 |
-0.034 |
b22 |
0.849 |
-0.09 |
b22 |
0.905 |
-0.03 |
b22 |
0.881 |
-0.047 |
Estimated results of the MVMQ-CAViaR model in the financial industry
Bank-securities |
Bank- insurance |
Securities-insurance |
c1 |
-0.013 |
-0.162 |
c1 |
0.005 |
-0.035 |
c1 |
-0.006 |
-0.031 |
a11 |
-0.106 |
-0.08 |
a11 |
-0.091 |
-0.05 |
a11 |
-0.068 |
-0.038 |
a12 |
-0.028 |
-0.04 |
a12 |
-0.007 |
-0.033 |
a12 |
-0.053 |
-0.068 |
b11 |
0.952 |
-0.161 |
b11 |
0.961 |
-0.028 |
b11 |
0.949 |
-0.082 |
b12 |
0.011 |
-0.142 |
b12 |
0.003 |
-0.027 |
b12 |
0.031 |
-0.023 |
c2 |
-0.042 |
-0.131 |
c2 |
-0.013 |
-0.033 |
c2 |
-0.022 |
-0.037 |
a21 |
-0.042 |
-0.033 |
a21 |
-0.039 |
-0.041 |
a21 |
0.01 |
-0.043 |
a22 |
-0.089 |
-0.048 |
a22 |
-0.047 |
-0.045 |
a22 |
-0.087 |
-0.083 |
b21 |
0.041 |
-0.022 |
b21 |
0.022 |
-0.012 |
b21 |
0.022 |
-0.133 |
b22 |
0.96 |
-0.114 |
b22 |
0.973 |
-0.029 |
b22 |
0.934 |
-0.179 |
Backtest results of the model
|
|
MVMQ-CAViaR model |
Asymmetric MVMQ-CAViaR model |
Joint asymmetric MVMQ-CAViaR model |
|
LR test |
DQ inspection |
LR test |
DQ inspection |
LR test |
DQ inspection |
Bank-securities |
Bank |
0.641 |
0.016 |
0.641 |
0.112 |
0.838 |
0.258 |
Securities |
0.289 |
0.146 |
0.838 |
0.249 |
0.836 |
0.898 |
Bank- insurance |
Bank |
0.838 |
0.428 |
0.838 |
0.562 |
0.838 |
0.862 |
Insurance |
0.289 |
0.003 |
0.289 |
0.013 |
0.641 |
0.222 |
Securities-insurance |
Securities |
0.678 |
0.16 |
0.678 |
0.351 |
0.678 |
0.331 |
Insurance |
0.199 |
0.001 |
0.289 |
0.195 |
0.289 |
0.076 |