| 相关风险函数VaR的界 |
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| 引用本文： | 史道济,王爱莉.相关风险函数VaR的界[J].系统工程,2004,22(9):42-45. |
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| 作者姓名： | 史道济 王爱莉 |
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| 作者单位： | 天津大学,理学院,天津,300072 |
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| 基金项目： | 南开大学—天津大学刘徽数学应用中心资助项目 |
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| 摘 要： | 以VaR作为风险测度，利用Copula的有关理论给出美元／英镑和加元／英镑两支汇率的风险函数在一定水平下的VaR的最优边界。在比较不同类Copula的相关性时，用Kendall τ作为比较的依据。本文的方法对其他风险测度和由更多金融产品组成的组合投资同样适用。
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| 关 键 词： | Copula 相关风险 Fr6chet边界 Kendall τ VaR（Value at Risk） |
| 文章编号： | 1001-4098(2004)09-0042-04 |
The Bounds of the Value-at-Risk for Functions of Dependent Risks |
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| SHI Dao-ji,WANG Ai-li.The Bounds of the Value-at-Risk for Functions of Dependent Risks[J].Systems Engineering,2004,22(9):42-45. |
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| Authors: | SHI Dao-ji WANG Ai-li |
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| Abstract: | Taking Value-at-Risk as a risk measure,this article,based on theory of Copula,show the best-possible bounds of VaR at certain level for functions of dependent risks of US Dollar/UK Sterling and Canadian Dollar/UK Sterling. Kendall is criterion of comparing the dependence of different kinds of Copula. The method used in this paper can easily to be adapted for risk measures different from VaR and portfolios consisting of more financial products. |
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