尾部相关性对投资组合VaR的影响分析

通过随机模拟,研究两种不同的风险度量(VaR和方差)与相关性之间的关系.当用方差度量风险时,资产收益率之间的线性相关性越小,资产组合的风险就越小.当用VaR度量风险时,收益率间的尾部相关性对VaR也有显著影响.如果资产收益率之间的线性相关性较小,而尾部相关性较大,则风险可能较大.

Analysing the Impact of Tail Dependence on Portfolio VaR

Two different risk measure methods(VaR and Variance)and the relationship between them and dependence are studied by simulation method in this paper.when using Variance method to measure risk, the smaller linear correlation of return on assets is,the smaller the risk of portfolio is.However,when using!VaR method to measure risk,The tail dependence of return has significant impact on VaR.If the linear correlation of return on assets is small,but the tail dependence of them is large,the risk of portfolio might be large.