A TVaR-EGARCH-POT Based Market Financing Risk Evaluation of the New OTC (Over the Counter) Market

摘要

In the process of Chinese industry conversion and upgrading, technological innovation enterprises play important roles. Technology enterprises could not develop without the support of financial market, and risk involved in their financing processes directly affects investment inclinations of capital market. Through establishing a TVaR-EGARCH-POT model, this investigation measured market financing risk of the new OTC market. This model could effectively indicate the fluctuating aggregation and leverage effect of financial positions. On the other hand, compared with traditional VaR method, TVaR characterizes tail behaviors of capital loss variables more effectively, and in the meanwhile shows higher inclusiveness of occurrence of extreme loss events.