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Pair-copula constructions of multiple dependence   总被引:8,自引:0,他引:8  
Building on the work of Bedford, Cooke and Joe, we show how multivariate data, which exhibit complex patterns of dependence in the tails, can be modelled using a cascade of pair-copulae, acting on two variables at a time. We use the pair-copula decomposition of a general multivariate distribution and propose a method for performing inference. The model construction is hierarchical in nature, the various levels corresponding to the incorporation of more variables in the conditioning sets, using pair-copulae as simple building blocks. Pair-copula decomposed models also represent a very flexible way to construct higher-dimensional copulae. We apply the methodology to a financial data set. Our approach represents the first step towards the development of an unsupervised algorithm that explores the space of possible pair-copula models, that also can be applied to huge data sets automatically.  相似文献
藤Copula模型与多资产投资组合VaR预测   总被引:1,自引:0,他引:1  
投资组合风险管理往往涉及多个资产,在传统的二元Copula函数面临"维度诅咒"问题及多元Copula函数刻画多变量联合分布时其精确性和灵活性存在各种局限性的情况下,引入藤Copula刻画多个资产收益的联合分布,基于不同的Pair-Copula类别构建藤Copula,运用蒙特卡罗模拟方法计算多资产投资组合的VaR,通过Kupiec和Christoffersen返回检验方法测试藤Copula模型的VaR预测效果,并与传统方差-协方差风险管理方法做比较。实证分析表明,传统的方差-协方差风险管理方法和基于正态Pair-Copula作为藤Copula构建模块的方法不能通过多资产投资组合的VaR预测返回检验;而基于student-t Copula、Clayton Copula具有尾部分布特征的Copula作为构建模块的藤Copula模型能够有效地用于多资产投资组合VaR预测,从而更好的用于指导实践。  相似文献
如何衡量违约风险乃至违约相依性是债务抵押债券定价的主要问题.运用PairCopula刻划信用资产组合违约时刻的相依结构,通过Pair Copula分解得到资产组合违约时刻的联合密度,利用Monte Carlo模拟估算CDO各系列的公平价差,进而分析各系列公平价差对回收率的敏感性.实证研究结果表明,Pair Copula能有效捕捉信用资产组合的违约相依性,各系列公平价差随着回收率的增加而减小.  相似文献
用pair-copula构建高维相依结构,将n维联合密度函数转化为若干个pair-copula密度函数相乘。在pair-copula的选择上,本文构造了能描述非对称尾部相关性的混合copula函数——M-copula。并在实证分析部分用该方法探索了上证市场上四个板块的相依关系,得到了比较理想的结果。  相似文献
传统的多维Copula是用单个参数来度量多变量之间的相依关系,这限制了该类Copula在描述多变量之间相依结构.为了解决这一问题,提出了一种使用藤构造三维Copula的算法,用蒙特卡罗方法分别模拟传统的单参数三维Copula和藤构造的三维Copula,并给三资产的交换期权定价,发现藤构造的Copula在定价上与单参数多维Copula存在明显的差别,使用藤构造的Copula在描述相依结构时有较大弹性.  相似文献
对于pair-copula中的参数估计,大多假设copula函数的参数和条件变量独立,将参数简化成一个不依赖于条件变量的常数.本文假设copula函数的参数和条件变量不独立,该参数是以条件变量为自变量的一元函数.应用该方法实证分析了“克强指数”三个指标铁路货运量、工业用电量和贷款发放量的对数增长率之间的关系,研究发现该方法优于简化的pair-copula参数估计,并且得出在固定铁路货运量不变时,工业用电量和银行贷款发放量成负相关关系,且这种负相关性随铁路货运量增加而减弱.  相似文献
以过去的信息为条件,以一致性风险度量 CVaR 为优化目标,以组合收益率为约束条件,建立了时变投资组合优化模型,通过基于 pair-copula-GARCH 模型的蒙特卡洛模拟方法得到未来某时刻收益率的多个可能情景,并引入一个特殊函数实现了投资组合模型的线性化,得到了最优投资组合策略。最后针对提出的模型进行了实例分析。  相似文献
首先采用AR(1)-GJR(1,1)-SkT(73,A)模型来刻画中国股市风格资产(大盘成长、大盘价值、中盘成长、中盘价值、小盘成长、小盘价值)的边缘分布,接着结合各边缘分布的残差,引入C—VineCop—ula和r)IVineCopula模型来描述这六种风格资产之间的相依结构,然后对基于CVineCopula和I)IVineCopula模型的拟合效果进行综合比较.研究结果表明:中国股市各风格资产之间的相依性存在结构性差异,最适合用I)IVineCopula模型来刻画各风格资产之间的相依结构.同类型的风格资产之间的相依程度比不同类型风格资产之间的相依程度要高;在同一类型的风格资产中,资产规模差距越大的风格资产之间的相依系数就越小.无条件的风格资产收益系列之间的相关性要显著大于有条件的风格资产收益系列之间的相关性;最后根据研究结论提出了降低风格资产组合风险的资产配置建议.  相似文献
A useful application for copula functions is modeling the dynamics in the conditional moments of a time series. Using copulas, one can go beyond the traditional linear ARMA (p,q) modeling, which is solely based on the behavior of the autocorrelation function, and capture the entire dependence structure linking consecutive observations. This type of serial dependence is best represented by a canonical vine decomposition, and we illustrate this idea in the context of emerging stock markets, modeling linear and nonlinear temporal dependences of Brazilian series of realized volatilities. However, the analysis of intraday data collected from e‐markets poses some specific challenges. The large amount of real‐time information calls for heavy data manipulation, which may result in gross errors. Atypical points in high‐frequency intraday transaction prices may contaminate the series of daily realized volatilities, thus affecting classical statistical inference and leading to poor predictions. Therefore, in this paper, we propose to robustly estimate pair‐copula models using the weighted minimum distance and the weighted maximum likelihood estimates (WMLE). The excellent performance of these robust estimates for pair‐copula models are assessed through a comprehensive set of simulations, from which the WMLE emerged as the best option for members of the elliptical copula family. We evaluate and compare alternative volatility forecasts and show that the robustly estimated canonical vine‐based forecasts outperform the competitors. Copyright © 2013 John Wiley & Sons, Ltd.  相似文献
The complexity of financial products significantly increased in the past 10 years. In this paper, we investigate the pricing of basket options and more generally of complex exotic contracts depending on multiple indices. Our approach assumes that the underlying assets evolve as dependent GARCH(1, 1) processes. The dependence among the assets is modeled using a copula based on pair‐copula constructions. Unlike most previous studies on this topic, we do not assume that the dependence observed between historical asset prices is similar to the dependence under the risk‐neutral probability. The method is illustrated with US market data on basket options written on two or three international indices. Copyright © 2012 John Wiley & Sons, Ltd.  相似文献
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