Expectile-based Downside-risk Measurement Between Industries

With the increasing complexity of the financial environment,the risk assessment of the financial industry has been widespread concern in financial institutions and scholars,in the financial risk management system,how to manage and measure the industry risk is an important direction of risk measurement,and industry risk is investment institutions or individuals in the investment decision-making need a key factor key reference,because each industry has its own common and unique structure,including the structure of the market,external factors,policy specification or requirement,scientific and effective evaluation and calculation of industry risk is an urgent problem to be solved.This article uses KUNA and so on(2009)based on the VaR Expectile to the industry's lower end risk influence factor and the lower end risk size carries on the analysis.This paper selects five industries in Shanghai and Shenzhen 300(industry,material,energy,medicine and financial)index data as the research object,using the conditional autoregressive(CARE)model of expected quantiles of five industries selected the Shanghai and Shenzhen 300 index daily logarithmic return rate of risk measurement analysis,an empirical analysis of the impact of lower end the association of industry risk factors,lower risk and lower risk of the size of the industry.At the same time,the daily logarithmic return to the five major industries in Shanghai and Shenzhen 300 index rate risk size calculation,sorting and preliminary analysis shows that according to the model to calculate the EVaR value of the five industry on the selection of the size of the risk.Finally,according to the conclusion,combining theory and empirical study indicates that the CARE model based on VaR in the industry risk analysis advantages,can avoid the income distribution hypothesis directly calculate the VaR value,and not only has the advantage,the two estimated loss function brings the effectiveness and the covariance matrix is estimated without estimating a condition the density function advantage,better processing the tail distribution of return series;at the end of the risk management industry in the establishment of risk management system,establish risk management knowledge base and risk management personnel reserve,three constructive suggestions to improve the risk management of financial market or industry.