| 基于Copula-SV模型的金融投资组合风险分析 |
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| 引用本文： | 战雪丽,张世英. 基于Copula-SV模型的金融投资组合风险分析[J]. 系统管理学报, 2007, 16(3): 302-306 |
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| 作者姓名： | 战雪丽 张世英 |
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| 作者单位： | 1. 天津大学,管理学院,天津,300072;北京物资学院,经济学院,北京,101149
2. 天津大学,管理学院,天津,300072 |
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| 摘 要： | 基于正态Copula函数和SV模型,建立了正态Copula-SV模型,将其应用到金融投资组合风险分析,并与Copula-GARCH模型对金融投资组合风险分析方法进行了对比,结果表明,边缘分布的选择对变量的联合分布具有重要作用,Copula-SV模型比Copula-GARCH模型在刻画组合风险VaR值方面具有优越性。
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| 关 键 词： | Copula函数 随机波动模型 蒙特卡罗模拟 风险分析 |
| 文章编号： | 1005-2542(2007)03-0302-05 |
| 修稿时间： | 2006-06-21 |
Risk Analysis of Financial Portfolio Based on Copula-SV Model |
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| ZHAN Xue-li,ZHANG Shi-ying. Risk Analysis of Financial Portfolio Based on Copula-SV Model[J]. Systems Engineering Theory·Methodology·Applications, 2007, 16(3): 302-306 |
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| Authors: | ZHAN Xue-li ZHANG Shi-ying |
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| Abstract: | Copula function is an effective statistic method for constructing the combined distribution and the dependency structure of multi-dimension random variables which have different marginal distributions.The SV model describes the financial volatility better than the GARCH model.Models based on Copula-GARCH are in fashion.Based on the theory of Normal Copula and SV model,this paper gets the Copula-SV model to analyze the financial portfolio risk.The experiential result indicates that the Copula-SV model is better than the Copula-GARCH model in the field of VaR. |
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| Keywords: | Copula function SV models Monte Carlo simulation risk analysis |
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