| 基于Copula-kernel模型的流动性VaR分析 |
| |
| 引用本文： | 肖星火,苏锡坤. 基于Copula-kernel模型的流动性VaR分析[J]. 河南科学, 2013, 0(4) |
| |
| 作者姓名： | 肖星火 苏锡坤 |
| |
| 作者单位： | 华南理工大学工商管理学院,广州 510641 |
| |
| 摘 要： | 传统VaR方法在衡量投资组合的风险上存在诸多缺陷,针对BDSS模型进行改进,基于相对价差得到了再修正的BDSS模型以计量流动性风险.实证分析表明,Copula-kernel模型对多元收益率和相对价差序列的拟合程度都很高,且La-VaR中的流动性风险部分随着置信度的减小而逐渐显著,返回测试表明无论置信度的高低,在大多数情况下La-VaR都不会低估风险.
|
| 关 键 词： | Copula VaR Monte Carlo模拟 核密度估计 流动性风险 |
Liquidity VaR Research Based on Copula-kernel Model |
| |
| Abstract: | Traditional VaR method has many defects in measuring portfolio risk,this paper modifies BDSS model based on relative spread to measnre ligmidity risk.The empirical analysis shows that Copula-kernel model can accurately fit multiple yield and relative spread order,and the part of liquidity risk in the La-VaR is gradually significant with the decrease of confidence c.The back testing shows that La-VaR may not underestimate risk in most cases whatever confidence c is high or low. |
| |
| Keywords: | Copula VaR Monte Carlo simulation kernel density estimation liquidity risk |
| 本文献已被 万方数据 等数据库收录！ |
|
