| 基于Copula和极值理论的在险价值度量 |
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| 引用本文： | 冯烽.基于Copula和极值理论的在险价值度量[J].数学的实践与认识,2011,41(15). |
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| 作者姓名： | 冯烽 |
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| 作者单位： | 广西财经学院信息与统计学院,广西南宁530003福州大学管理学院,福建福州350002 |
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| 基金项目： | 广西教育厅资助项目(200802LX233); 广西财经学院资助项目(2011A01) |
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| 摘 要： | 针对传统孤立使用GJR模型、极值理论、Copula理论进行风险分析的不足,把GJR模型、极值理论和Copula理论有机的结合起来,给出了基于Copula和极值理论的投资组合VaR的测度方法.首先利用GJR模型刻画单个资产收益率中的自相关和异方差现象,获得近似独立同分布的新息序列,再分别应用高斯核估计的方法、极值理论拟合新息序列的分布函数的内部和两尾,利用Copula函数有效捕抓了市场之间的波动溢出效应,最后使用Monte Carlo模拟法,计算出投资组合的VaR值.实证结果表明,基于Copula和极值理论的VaR度量方法比历史模拟法更有效.
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| 关 键 词： | GJR模型 极值理论 Copula函数 在险价值 |
VaR Measure Based on Copula and Extreme Value Theory |
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| FENG Feng.VaR Measure Based on Copula and Extreme Value Theory[J].Mathematics in Practice and Theory,2011,41(15). |
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| Authors: | FENG Feng |
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| Institution: | FENG Feng (School of Information and Staistics,Guangxi University of Finance and Economics,Nanning 530003,China) (School of Management,Fuzhou University,Fuzhou 350002,China) |
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| Abstract: | Instead of using GJR Model,Extreme Value Theory or Copula Theory alone,GJR Model,Extreme Value Theory are combined with Copula Theory for providing a measure method of the portfolio VaR based on the Copula Theory and Extreme Value Theory.In first,approximate i.i.d.innovations sequence is obtained by using GJR model to fit the autocorrelation and heteroskedasticity of return series of single asset.Secondly,Estimating the distribution function of the innovations sequence by fitting the internal and two tails ... |
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| Keywords: | GJR model extreme value theory copula function value at risk |
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