基于极值统计和高维动态C藤Copula的股市行业集成风险计算

股市诸多行业风险之间存在着波动相依性,集成计量多维风险对投资决策意义重大。藤Copula是Copula函数高维化拓展的一个方向,其动态化是新的研究前沿。将极值理论的GPD模型和高维动态C藤Copula方法结合起来研究沪深300指数中地产、基建、银行和运输四个行业风险,能够有效描述尾部极值形态,突出关键变量的作用。再运用动态Pair-Copula分解,刻画高维行业风险变量间的动态关系,以仿真出动态集成风险变量VaR序列。VaR计算结果通过了回溯检验和稳定性测试,表明高维动态C藤Copula模型可以作为风险集成计量的一种新的有效方法。

Calculation for Industry-integrated Risk Based on EVT and High-dimensional Dynamic Canonical Vine Copula Structure

There are always industry risks in stock markets.It is of very important significance for investment decision how to integrate high-dimensional risks.Vine copula denotes the research direction of high dimension.And dynamic research is the frontier in this scholar field.This article uses GPD model of EVT and high-dimensional dynamic canonical vine copula simultaneously,and researches on four-industry risks.It is demonstrated that the models can describe the shape of extreme value of tail fraction and highlight leading variable.Furthermore,this article decomposes four-dimensional risk series by dynamic Pair-Copula,then describes the dynamic dependence,gets dynamic integrated VaR series by Monte Carlo simulations.The results gets through back testing and stability testing.Thus highdimensional dynamic canonical vine copula can be used as a new and prndent way to measure integrated risks.