Research On The Risk Contribution Of Chinese Stock Market Based On The Saddle Point Approximation

Over the past four decades,the global financial market has developed rapidly,the scale of financial assets has grown rapidly.But at the same time there is always accompanied by a significant increase in financial market volatility in the rapid development of financial markets,financial risk management has been widespread concern.With the financial reform,Chinese stock market value ranks second in the world,becoming one of the world's major stock markets.Although the stock market volatility and speculative characteristics can bring higher returns,but accompanied by a higher risk.Chinese stock market has repeatedly adjusted a large number of shocks,and the parties suffered heavy losses since 2006.Under the background of high price fluctuations in today's economic environment,it's significant to analyze the deep reasons of the portfolio volatility by measuring the risk contribution of each asset.Historical data measure method has been widely used in risk contribution which is mainly suitable for the situation of larger data sample and short duration up to now.Generally,the risk contribution in extreme situation is decided by the feature of the tail data.Therefore,it's difficult to make sure the accuracy of estimation in this case.In this article,we optimize the saddle point approximation to solve the above problem.In this article,we made an empirical analysis with these methods by using Chinese stock data.Compared with the traditional methods,the advantages of the saddle point approximation are listed as follows: the distribution function of the portfolio is more concise and the calculation has a higher accuracy and efficiency.Moreover,the stress test results show that the saddle point approximation model has more stability.Therefore,it is likely that the saddle point approximation will be helpful for early warning of risk and the risk prevention for investment portfolio.In this paper,the saddle point approximation model is used to estimate the risk contribution of Chinese stock market according to industry classification,and the nineteen industries are divided into three intervals according to the risk level.The first risk zone includes the manufacturing,financial and extractive industries,the possibility of high volatility is high,the need to strengthen supervision.The second risk zone includes transportation,warehousing and postal services,real estate,wholesale and retail,water conservancy environment public facilities management,water and electricity gas,construction and information transmission,software information technology services,regulators need to be vigilant.While the remaining nine industries for the third interval,there is a degree of relaxation in the regulation.At the same time,the author has carried on the empirical research to the three mature economic circles in China,and finds the ranking of the risk contribution: Yangtze River Delta> Beijing-Tianjin-Hebei> Pearl River Delta.Finally,we give the corresponding suggestions according to the empirical results.