Dynamic Systematic Tail Risk Measurement Based On Tail Index Regression

In recent years,the measurement and analysis of tail risk has become an important research topic.Most researches focused on the tail risk directly based on static models,but few researchers consider that the tail risk may be affected by exogenous financial variables.This paper will consider the impact of the VIX index on the tail index based on the regression model.We study the relationship between the tail index and the sys-tematic tail risk coefficient and establish the time-varying dynamic systematic tail risk coefficient model Based on the model,we study the CVaR and the time-varying tail systematic tail risk coefficient of different countries.The results show that during the financial crisis,the tail risk of the global market increased significantly.The tail index decreased,and the CVAR increased.The systemic tail risks of China,Japan,Russia,India,France,and England are less than the global market.The tail indexes of these countries are larger than the index of global market,and the CVAR are smaller.The systemic tail risk coefficients of these stock markets decreased during the financial cri-sis.While the systemic tail risks of America and Germany are higher.The result shows that the American and German tail indexes are smaller than the global market,and the CVAR are larger.The systematic tail risk coefficients of the American and German stock markets increased during the financial crisis.Studying the dynamic tail risk of the market will promote the effective assessment of market risks.