| 基于时变多元Copula-VaR的商业银行汇率风险度量 |
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| 引用本文： | 谢赤,周亮球,岳汉奇,王纲金.基于时变多元Copula-VaR的商业银行汇率风险度量[J].湖南大学学报(自然科学版),2012,39(12):94-99. |
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| 作者姓名： | 谢赤 周亮球 岳汉奇 王纲金 |
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| 作者单位： | 湖南大学工商管理学院;湖南大学金融与投资管理研究中心 |
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| 基金项目： | 国家社会科学基金重点资助项目(07AJL005);国家软科学研究计划项目(2010GXS5B141);教育部创新群体项目(IRT0916);教育部人文社会科学规划项目(09YJC630063);湖南省自然科学基金创新群体项目(09JJ7002) |
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| 摘 要： | 构建了一个时变多元Copula模型,并运用Monte Carlo模拟技术计算VaR,以期更准确地度量人民币兑美元、欧元、日元和港元4种汇率可能给商业银行带来的风险.然后将其度量效果与静态多元Copula-VaR的度量效果进行比较分析.实证结果表明:人民币兑各主要货币汇率之间的相关结构以时变方式变动,基于时变多元Copula-VaR的商业银行汇率风险的度量效果更好.
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| 关 键 词： | 商业银行 汇率风险度量 时变多元Copula模型 VaR(ValueatRisk) |
Exchange Rate Risk Measurement of Commercial Bank by Time-varying Multiple Copula-VaR |
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| XIE Chi,ZHOU Liang-qiu,YUE Han-qi,WANG Gang-jin.Exchange Rate Risk Measurement of Commercial Bank by Time-varying Multiple Copula-VaR[J].Journal of Hunan University(Naturnal Science),2012,39(12):94-99. |
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| Authors: | XIE Chi ZHOU Liang-qiu YUE Han-qi WANG Gang-jin |
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| Institution: | 1(1.College of Business Management,Hunan Univ,Changsha,Hunan 410082,China; 2.Center of Finance and Investment Management,Hunan Univ,Changsha,Hunan 410082,China) |
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| Abstract: | A time-varying multiple Copula model was constructed, and the Monte Carlo simulation technology was used to calculate VaR (Value at Risk) in order to accurately measure the risk resulting from the four exchange rates: CNY/USD, CNY/EUR, CNY/JPY and CNY/HKD of commercial Banks. Then, a comparative analysis was made on the measurement effect between the static multiple Copula-VaR and the time-varying multiple Copula-VaR. The results show that the connections between these exchange rates are indeed time-varying related, and the measurement effect of the time-varying multiple Copula-VaR is much better. |
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| Keywords: | commercial bank exchange rate risk measurement time-varying multiple Copula VaR(value at risk) |
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