关键词: 尾部风险, CoES, 极值理论, Copula, 后验分析

Abstract: In this paper, a new CoES estimation method DM-copula-EVT is proposed by combining extreme value theory (EVT) and the new dynamic mixture copula (DM-copula). In the modeling of EVT, this paper improves the threshold selection method to avoid the subjectivity of selection, and proposes a series of new dynamic mixture copulas to better describe the complex tail correlation of financial markets. In addition, this research proposes a rigorous backtesting framework for CoES for the first time, including unconditional coverage test and conditional coverage test. Applying the modeling and backtesting methods to China’s financial market, we find that EVT can better fit the tail distribution of financial market indices than the traditional t distribution, and new dynamic mixture copulas can better describe the complex correlation between the financial sector and financial system.

Key words: Tail Risk, CoES, EVT, Copula, Backtesting