2023年11月，金融系郑延婷副教授论文A New View of Risk Contagion by Decomposition of Dependence Structure: Empirical Analysis of Sino-US Stock Markets在International Review of Financial Analysis 2023年第90期正式发表。International Review of Financial Analysis为ABS 3期刊，北京工商大学认定的经济与商科ESI A2期刊。

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内容摘要

With the fragile recovery of world economy and increasing financial uncertainty, global capital allocations and risk management become more sensitive to the risk spillover and contagion among financial markets, especially in extreme conditions. We propose a new view to detect risk contagion by the local comonotonicity and counter-monotonicity decomposed from dependence structure. It allows us to distinguish risk spillover, portfolio diversification risk, mild, moderate and severe contagions in the uniform framework. We apply it to analyze the identifications and degrees of risk contagion between Sino-US stock markets, and then find that they experience higher frequencies of portfolio diversification risk and moderate contagions while fewer proportions of mild and severe contagions. Impact factors from United States play the main role in increasing the odd ratio of risk spillover and moderate contagion between Sino-US stock markets. Our results can help global investors to develop sophisticated risk strategies by revealing structure information of dependence.

随着世界经济的脆弱复苏和金融不确定性的增加，全球资本配置和风险管理对金融市场之间的风险溢出和蔓延变得更加敏感，特别是在极端情况下。本文提出了一种利用由相关性结构分解的局部同单调和反单调性来检测风险传染的新观点。它使我们能够在统一的框架内区分风险溢出、组合分散风险、轻度、中度和重度传染。当我们将该模型应用于中美股市风险传染的识别和程度时，发现两国股市间的组合分散风险频率占比较高，而中度，轻度、重度传染的比例较低。来自美国市场的影响因素是增加中美股市间风险溢出和中度传染发生几率的主要因素。我们的研究结果可以通过揭示相关性的结构信息，帮助全球投资者制定复杂的风险策略。

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作者简介

郑延婷，bat365在线平台金融系副教授，硕士生导师，北京大学数学科学学院金融数学博士，美国佐治亚理工学院学术访问学者，中华环保联合会ESG专业委员会委员，北京金融学会理事。主要从事金融风险传染分析、量化投资及可持续金融等方面研究工作。在Insurance: Mathematics and Economics 、International Review of Financial Analysis、Communications in Statistics: Theory and Method、Journal of Systems Science and Complexity等国际期刊发表多篇学术论文，主持参与国家级项目7项，出版学术专著2部。兼任北京市金融学会顾问专家，以及Journal of Systems Science and Complexity、Communications in Statistics: Theory and Method、系统工程理论与实践等期刊审稿人。

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原文链接

https://www.sciencedirect.com/science/article/pii/S1057521923004362