Pension product risk early warning method and device based on tail correlation

Abstract

The invention discloses a pension product risk early warning method and device based on tail correlation, which can be used in the financial field, and the method comprises the steps: obtaining net value data and basic information of a plurality of pension products, the plurality of pension products at least comprising a group of pension products of the same type; for each group of pension products of the same type, calculating a Gumbel Copula function to-be-estimated parameter and a Clayton Copula function to-be-estimated parameter according to the net value data and the pension product basic information; according to the parameters to be estimated of the Gumbel Copula function and the parameters to be estimated of the Clayton Copula function, the tail correlation of each group of pension products of the same type is determined; and according to the tail correlation of each group of pension products of the same type, carrying out pension product risk early warning. According to the invention, early warning can be carried out on pension products possibly subjected to large net value withdrawal in time.

Description

technical field [0001] The invention relates to the financial field, in particular to a method and device for early warning of pension product risks based on tail correlation. It should be noted that the pension product risk early warning method and device based on the tail correlation of the present invention can be used in the financial field, and can also be used in any field except the financial field. The pension product risk early warning method based on the tail correlation of the present invention And the application field of the device is not limited. Background technique [0002] As an important asset in pension product investment, bonds provide relatively stable returns and lower risks for pension products. The management of bond risks is a very important part of product management. [0003] At present, among the three main types of bonds in the bond market, interest rate bonds, convertible bonds and credit bonds, credit bonds have credit risks compared with inte...

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Problems solved by technology

[0003] At present, there are three main types of bonds in the bond market, interest rate bonds, convertible bonds and credit bonds. Compared with interest rate bonds, credit bonds have credit risks, that is, borrowers, securities issuers or counterparties are unwilling or unable to perform due to various reasons. The possibility of breach of contract due to contract conditions, resulting in losses for investors

When a credit explosion occurs in credit bonds, it usually causes huge losses to pension product investors, and other assets held by pension products also have other risks that may cause a retracement of net worth

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