Integrated Risk Measurement Of Market Risk And Liquidity Risk For Listed Corporate Bonds Base On Optimal Copula Model

In recent years,with the continuous innovation of financial products,and as an important part of our country's securities market,the bond market plays a more and more important role in maintaining the stability of our country's financial market.However,the corporate bonds in our country started late,in 2007,the successful issuing of the long electric bonds marked the development of the corporate bonds in our country was triggered.In January 2015,the China Securities Regulatory Commission(CSRC)launched the “Measures for the Management of the Issuance and Transaction of China's Corporate Bonds”,in which the original regulation that the corporate bonds only can be issued by the domestic securities exchange listed company,domestic limited companies and securities companies who can issue foreign capital stocks listed abroad was changed into the regulation that all eligible corporate legal persons can issue corporate bonds,so the measures relaxed corporate bond issuers and issuance scale,and made the exchange bond market ushered in a spurt of development.At the same time the corporate bonds would also face more risk,which would cause some troubles to the bond investors.And the risks of corporate bonds were more complex,including the liquidity risk,credit risk,market risk,purchasing power risk,and tax risk and so on,but these risks did not exist independently,and they would influence each other and at the same time acting on the bond portfolios,which was embodied in integrated risk.So for institutional investors,while they were holding corporate bonds on a large-scale,they must measure the integrated risk driven by many risks of the bond portfolios comprehensively.The previous risk managers always measure the integrated risk by the method of adding up each kind of risk simply or by the qualitative method to measure the size of the risk,but this simple addition of the risks should be on the basis of the various risks that are completely positive correlation.However,a large number of studies show that the correlation between each kind of risk is not determined,some will show a positive correlation,but some also will show a positive correlation.Although the relevant departments of China and the government has clearly put forward the strategic plan to develop the bonds.But even the scale of China's corporate bond market is comparable to those scales of Europe and other developed countries,the liquidity problems in the corporate bond market is still worthyof our consideration.And through the observation of the bond markets in European countries and Asian countries,it is not difficult to find the biggest concern of the corporate bond market is not the market risk or credit risk,but the liquidity risk.In addition,liquidity level of China's corporate bond market is far below the average level of other developed countries,and the liquidity risk is particularly prominent.At present,there are generally two financing channels of China's listed companies: one is equity financing,the other is debt financing,the two channels are interrelated with each other and mutually complementing.Thus,the corporate bonds issued by listed companies is not only related to the bond market,but also closely related to the stock market.So this paper will combine the liquidity risk and market risk of corporate bonds,in order to measure the integrated risk of corporate bonds,the model can also be extended to a measurement model of multi risk or even a measurement model of multi asset integration risk.This paper intends to set up a liquidity index to measure the corporate bond,by selecting the GARCH model and the empirical distribution are selected to measure the liquidity risk and market risk of corporate bonds,making a further exploration of the existing integrated risk research and theory,and using the Copula function to built the distribution of two kinds of risk factors,then establish a measurement model of the integrated risk suitable for the development status of the corporate bonds in our country.Of which the procedure of the integrated risk measurement can be divided into the following steps: First,determining the marginal distribution of each risk factor;Second,using five kinds of commonly used Copula function to estimate the parameters,and the forming of joint distribution;Third,determining the optimal Copula function through the log likelihood calculation of five commonly used Copula function value;Finally,the Monte Carlo simulation is used the selected optimal Copula function to calculate the VaR and CVaR of the integrated risk of corporate bonds.