| 基于Copula模型的风险相关性度量方法 |
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| 引用本文： | 吴庆晓,刘海龙.基于Copula模型的风险相关性度量方法[J].系统管理学报,2011,20(6). |
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| 作者姓名： | 吴庆晓 刘海龙 |
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| 作者单位： | 1. 上海浦东发展银行博士后工作站,上海200001;复旦大学应用经济学博士后流动站,上海200433
2. 上海交通大学安泰经济与管理学院,上海200052;上海立信会计学院中国立信风险管理研究院,上海201620 |
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| 基金项目： | 中国立信风险管理研究院基金资助 |
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| 摘 要： | 给出了集成风险管理的一般模型,论述了多元Copula、时变Copula、变结构Copula模型在风险管理领域的应用,指出了Copula的最新研究进展——Pair-Copula,总结了各种类型Copula模型的特征、用途和局限性.最后,给出了Copula模型的一个选择方法,指出了进一步的研究领域,为在风险管理中选择更合适的模型和对风险实施更准确的度量提供思路.
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| 关 键 词： | 时变Copula 变结构Copula 集成风险管理 Pair-Copula 模型选择 |
A Measure of Risk Correlation Based on Copula Model |
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| WU Qing-xiao
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LIU Hai-long.A Measure of Risk Correlation Based on Copula Model[J].Systems Engineering Theory·Methodology·Applications,2011,20(6). |
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| Authors: | WU Qing-xiao LIU Hai-long |
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| Institution: | WU Qing-xiao1,2,LIU Hai-long3,4(1.Post-Doctoral Workstation in SPDB Bank,Shanghai 200012,China,2.The AppliedEconomics Postdoctoral Station,Fudan University,Shanghai 200433,3.Antai College ofEconomics & Management,Shanghai Jiao Tong University,Shanghai 200052,China) |
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| Abstract: | We propose a normal model for integrated risk management,discuss the Copula model and its application in risk management of multidimensional Copula,varying Copula,and changing structural Copula,and age indicated the research progress of Copula,namely Pair-Copula.We further summarize the feature,use and localization of all types Copula.Finally,We present a way for choosing the models and point out more research fields. |
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| Keywords: | varying copula structural change copula integrated risk management pair-copula model choose |
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