| 基于时变pair-copula的多资产投资组合VaR分析 |
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| 引用本文： | 曹洁,程希骏.基于时变pair-copula的多资产投资组合VaR分析[J].中国科学技术大学学报,2011,41(12). |
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| 作者姓名： | 曹洁 程希骏 |
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| 作者单位： | 中国科学技术大学统计与金融系,安徽合肥,230026 |
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| 基金项目： | 中国科学院知识创新重要方向项目(KJCX3-8YW-S02)资助 |
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| 摘 要： | 在对资产组合的研究中采用pair-copula法构建了反映多个资产收益实际分布和相依性的联合分布函数,对每个pair-copula用二元时变copula替换原先的二元静态copula得到时变pair-copula,并结合蒙特卡洛模拟技术,给出投资组合的风险价值VaR的计算方法,最后通过实证分析验证了该模型的有效性和优越性.
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| 关 键 词： | pair-copula 时变copula 蒙特卡洛模拟 VaR |
Analysis of portfolio VaR by time-varying pair-copula |
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| CAO Jie
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CHENG Xijun.Analysis of portfolio VaR by time-varying pair-copula[J].Journal of University of Science and Technology of China,2011,41(12). |
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| Authors: | CAO Jie CHENG Xijun |
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| Institution: | CAO Jie,CHENG Xijun(Department of Statistics and Finance,University of Science and Technology of China,Hefei 230026,China) |
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| Abstract: | A pair-copula method was used to construct the practical distribution of multiple asset returns and joint distribution function of dependency for studying portfolio.Then,time-varying pair-copula was obtained by the bivariate time-varying copula instead of the bivariate static copula.With Monte Carlo simulation technique,the calculation method of portfolio VaR was given.Finally,the advantage and feasibility of this model are proved through empirical analysis. |
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| Keywords: | pair-copula time-varying copula Monte Carlo VaR |
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