Risk spillover in financial markets based on support vector quantile regression

2020 ◽  
pp. 1-11
Author(s):  
Wangsong Xie
Keyword(s):  
Quantile Regression ◽  
Financial Markets ◽  
Financial Market ◽  
Financial Risk ◽  
Spillover Effects ◽  
Market Risk ◽  
Support Vector ◽  
Non Linear ◽  
Risk Spillover Effects ◽  
Financial Market Risk

In terms of financial market risk research, with the rapid popularization of non-linear perspectives and the improvement of theoretical reasoning, scholars have slowly broken through the cage of linear ideas and derived new and more practical methods from non-linear perspectives to make up for the shortcomings of traditional research. Based on the support vector classification regression algorithm, this research combines the typical facts and characteristics of financial markets, from the perspective of quantile regression and SVR intelligent technology in computer science, to explore the research method of financial market risk spillover effects from a nonlinear perspective. Moreover, this research integrates statistical research, machine learning and other related research methods, and applies them to the measurement of financial risk spillover effects. The empirical analysis shows that the method proposed in this paper has certain effects, and financial risk analysis can be performed based on the risk spillover effect measurement model constructed in this paper.

Financial Market Risk Overflow Modeling and Inspection Based on Support Vector Machine

2014 ◽  
Vol 571-572 ◽  
pp. 1189-1194
Author(s):  
Hong Han Zhu
Keyword(s):  
Support Vector Machine ◽  
Financial Markets ◽  
Financial Market ◽  
Market Risk ◽  
Risk Information ◽  
Support Vector ◽  
Test Statistics ◽  
Extreme Risk ◽  
And Control ◽  
Financial Market Risk

Combined granger test statistics based on VaR and CCF and machine learning theory to establish financial market risk overflow model of support vector machine. To analyze risk information overflow by the statistic characteristics of risk information overflow structure. The model can more effective to test variety forms of risk overflow, Main performance is the extreme risk for information received peripheral selectivity and market volatility non-stability. Emerging markets characteristics in A Shares is evident, the performance are the selective reception of outside extreme risk information. Empirical results demonstrate that models have certain value to the management and control of overflow risks in financial markets.

The Application of Risk Data Measures Mode of Bias Statistics in the Financial Markets with Computer Analysis

2014 ◽  
Vol 687-691 ◽  
pp. 4934-4937
Author(s):  
Jia Peng Guo ◽  
Lian Bai
Keyword(s):  
Financial Market ◽  
Financial Risk ◽  
Market Risk ◽  
Effective Control ◽  
Financial Risks ◽  
Countermeasures And Suggestions ◽  
Control And Management ◽  
The Empirical Analysis ◽  
Financial Market Risk ◽  
Core Problem

The core problem of effective control and management of financial risk is how to measure the risk. It is very necessary to cable model statistics new, scientific and reasonable to predict and prevent the risks that may be encountered. This article is precisely launches the research under such a background to explore the model of Bayesian statistical analysis on financial market risk measurement. And the three main types of risks in China's financial market: credit risk and market risk, operational risk and the empirical analysis, China's financial market risk causes and puts forward the prevention countermeasures and suggestions of reducing the financial risks.

Risk Management Research of Financial Market Based on Dynamic Copula Model

2013 ◽  
Vol 380-384 ◽  
pp. 4472-4475
Author(s):  
Yi Xian Chai ◽  
Yan Li Xu ◽  
Dan Liu
Keyword(s):  
Risk Management ◽  
Financial Crisis ◽  
Financial Market ◽  
Financial Risk ◽  
Market Risk ◽  
Copula Model ◽  
Management Research ◽  
Financial Risk Management ◽  
Dynamic Copula ◽  
Financial Market Risk

Copula model and the application of the model in financial market risk management are discussed in this paper. The paper establishes a dynamic Copula model to solve the financial market risk management problems on the basis of Copula research. Through the use of statistics and financial theories and Copula model, the thesis studies the applications of Copula model in the financial risk management and resolves the problem whether there exists financial crisis contagion or not. The results indicate that the applications of model in the financial market risk management are effective, and the research on the problem should be done in-depth.

Study on Financial Market Risk Management Based on the Dynamic Copula Model

2011 ◽  
Vol 467-469 ◽  
pp. 2072-2077
Author(s):  
Yan Li Xu ◽  
Ling Ling Wang
Keyword(s):  
Risk Management ◽  
Financial Market ◽  
Financial Risk ◽  
Market Risk ◽  
Financial Contagion ◽  
Copula Model ◽  
Financial Risk Management ◽  
Dynamic Copula ◽  
Management Problems ◽  
Financial Market Risk

This thesis mainly studies Copula model and the application of the model in financial market risk management. On the basis of studying copula, this thesis builds a dynamic Copula model to solve the financial market risk management problems. Using statistics and financial theories and Copula model, the thesis studies applications of Copula model in the financial risk management and resolves the problem that whether the financial contagion exists. The results indicate that the applications of model in the financial market risk management are effective, and should study in deep.

scholarly journals Practical Volatility and Correlation Modeling for Financial Market Risk Management

2005 ◽  
Author(s):  
Torben Andersen ◽  
Tim Bollerslev ◽  
Peter Christoffersen ◽  
Francis Diebold
Keyword(s):  
Risk Management ◽  
Financial Market ◽  
Market Risk ◽  
Financial Market Risk

Italy election is unlikely to yield a stable coalition

2018 ◽  
Keyword(s):  
Financial Market ◽  
Market Risk ◽  
Bond Markets ◽  
Content Type ◽  
Stable Coalition ◽  
Market Instability ◽  
Financial Market Risk

Significance The electorate is deeply divided in ways that make compromise between parties extremely difficult. Unless the centre-right overcomes its divisions, another election seems likely very soon. Impacts Electoral deadlock could alarm currency and bond markets. If the M5S and League become the largest parties overall and on the centre-right respectively, there will be a risk of market instability. Financial market risk will probably materialise if efforts to build a centre-right coalition fail. If there is deadlock but the PD and Forza Italia underwrite a caretaker, markets may react with equanimity (though voters will not).

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