| 次贷危机前后资产组合的风险度量 |
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| 引用本文： | 刘昆仑.次贷危机前后资产组合的风险度量[J].贵州大学学报(自然科学版),2014,31(6):131-136. |
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| 作者姓名： | 刘昆仑 |
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| 作者单位： | 齐鲁师范学院数学系,山东济南,250013 |
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| 基金项目： | 国家自然科学基金项目资助，齐鲁师范学院青年基金项目资助 |
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| 摘 要： | 为了研究次贷危机对中国股市的影响,本文选取三只股票,分别选用单一的EVT模型和Copula-EVT模型计算资产组合的VaR和CVaR,通过对长期数据和短期数据的计算,总结出次贷危机对中国股市的影响.实证分析表明,次贷危机在短期内会对中国的证券业和房地产业产生一定的影响,但对制造业的影响不大;同时还能看出,引入Copula函数计算的组合风险要优于单一的EVT模型计算的组合风险.
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| 关 键 词： | VaR CVaR 极值理论 Copula函数 Copula-EVT模型 Monte Carlo模拟 |
Portfolio Risk Measurement after the Subprime Crisis |
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| LIU Kun-lun.Portfolio Risk Measurement after the Subprime Crisis[J].Journal of Guizhou University(Natural Science),2014,31(6):131-136. |
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| Authors: | LIU Kun-lun |
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| Institution: | LIU Kun-lun (Department of Mathematics, Qilu Normal University,jinan 250013, China) |
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| Abstract: | In order to study the influence of subprime mortgage crisis on China＇s stock market, this paper selects three stocks, respectively, using EVT model and Copula-EVT model single portfolio of VaR and CVaR were cal- culated, based on long-term data and short-term data, summed up the impact of the subprime crisis on China＇s stock market. The empirical analysis shows that, the subprime crisis on China＇s securities industry and real estate industry have a certain impact in the short term, but little impact on the manufacturing industry; at the same time it can be seen, portfolio risk Copula function to calculate the introduction to portfolio risk calculation of single EVT model is better than the. |
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| Keywords: | VaR CVaR EVT Copula function Copula-EVT model Monte Carlo simulation |
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