金融市场组合风险的相关性研究

研究了上海、深圳两股票市场的相关模式.文章根据Copula函数的意义和广义帕累托分布(Generalized Pareto Distribution,GPD),建立了上海、深圳股票市场组合风险的相关结构模型.用GPD和Copula函数分别刻画了上海、深圳股票市场收益率序列的边缘分布以及变量间的相关信息.在此基础上构造了比较灵活的Copula-GARCH-GPD模型.实证研究表明沪深股市的相关模型为Clayton-GARCH-GPD.进一步用蒙特卡洛方法模拟的投资于两股票市场的组合风险表明,联合正态分布模型所得到的组合风险VaR明显地低于用Copula拟合的结果;在较高的置信水平下,Clayton Copula显示的结果更加安全.

Research on the Correlation of Portfolio Value at Risk in Financial Markets

Research on the correlation between Shanghai and Shenzhen stock markets.By means of copula function and generalized Pareto distribution,we discussed the dependence structure of Shanghai and Shenzhen stock markets.The copula function can capture the correlation between random variables and GPD described the marginal distribution.So the Copula-GARCH-GPD model is established and used to study the financial market.The empirical results show that the dependence pattern of the two stock markets is Clayton-GARCH-GPD distribution.Moreover,the results presented through Monte Carlo Simulation told that the portfolio VaR under normal joint distribution is lower than under other Copulas.And the Clayton Copula gives secure conclusion at high level quantiles.