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Mathematical modelling of enterprise financial risk assessment based on risk conduction model

Xuesong Hu
Xuesong Hu
 oraz 
Bishr Muhamed Muwafak
Bishr Muhamed Muwafak
   | 15 gru 2021
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Data publikacji: 15 gru 2021
Zakres stron: 591 - 600
Otrzymano: 16 cze 2021
Przyjęty: 24 wrz 2021
DOI: https://doi.org/10.2478/amns.2021.1.00082
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© 2021 Hu and Muwafak, published by Sciendo
This work is licensed under the Creative Commons Attribution 4.0 International License.

Fig. 1

The impulse response process of the banking and securities market shocks.
The impulse response process of the banking and securities market shocks.

Fig. 2

The impulse response process of the combined negative shock of banks and securities.
The impulse response process of the combined negative shock of banks and securities.

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
eISSN:
2444-8656
Język:
Angielski
Częstotliwość wydawania:
Volume Open
Dziedziny czasopisma:
Life Sciences, other, Mathematics, Applied Mathematics, General Mathematics, Physics
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