Integrated measurement of liquidity risk and market risk of company bonds based on the optimal Copula model

Saiyan Lin, Rongda Chen, Zhihong Lv, Tianqing Zhou and Chenglu Jin

The North American Journal of Economics and Finance, 2019, vol. 50, issue C

Abstract: The bond market is an important part of the capital market, reflecting the debtor-creditor relationship. Correspondingly, the P2P network lending platform, which plays a vital role in emerging Internet Finance, represents the same relationship. In both markets, the risks in investment and financing channels are complex and diverse, including liquidity risk, market risk, tax risk and so on. All the risks do not exist alone, performed as an integrated risk. This paper establishes an index for measuring corporate bonds’ liquidity, by using a Copula-GARCH approach and generating empirical distribution to integrate the liquidity risk and market risk of corporate bonds. Particularly, according to the Likelihood function test results, t-Copula is the optimum Copula function. The model can also be applied to measure the integrated risk of the P2P network lending platform after improvement.

Keywords: Corporate bond; P2Plending platform; Internet finance; Integrated measurement; Optimal Copula model (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1062940819300737
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:50:y:2019:i:c:s1062940819300737

DOI: 10.1016/j.najef.2019.101004

Access Statistics for this article

The North American Journal of Economics and Finance is currently edited by Hamid Beladi

More articles in The North American Journal of Economics and Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().