基于变点理论的美国信贷危机检测.pptx

Change point detection for subprime crisis in American banking:From the perspective of risk dependence;The paper source：; Abstract： The subprime crisis has received great attention in academic research but there is no consensus on when the crisis started and when it ended. Previous researchers have only mentioned their subjective judgments in related papers and well-accepted change point detection methods are not available. So the objective of this paper is to propose a multiple change point detection approach from the perspective of risk dependence by using copula function. Since the inter-dependence of different types of risks during crisis and non-crisis periods is significant ly different, we monitor the change of dependence structure over time. The first step is to choose a proper copula that can accurately describe the dependence structure of the data. Thereafter, using the chosen copula to t the data dynamically, a series of parameters are attained. Finally, the change points are identified by analyzing the trend of the fitted parameters. Based on the financial data of the top 100 American banks in Forbes list, we empirically detect the start point, end point and peak period of the subprime crisis in American banking. The results show that the crisis started in 2007Q4and ended in 2011Q3, and the peak period of the crisis was from 2009Q3 to 2010Q2. ;1.the rationale of approach;;2.Approach steps;;3. Experiment;we employ the definition of credit risk and integrated risk from Kuritzkes and Schuermann (2006). Therefore, the credit risk is defined as the potential for losses due to the failure of borrowers to repay and the total risks definition is the potential for deviation from expected results, that is, earnings volatility. According to the mapping relationship between risk and financial statements, we considered the provision as credit risk and pre-tax income as the total risk. ;;Find the start point;Find the end point;;conclusion;;;;;;;;;;;;;;