| 基于Copula-EVT模型的我国股票市场流动性调整的VaR和ES研究 |
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| 引用本文： | 刘晓星,邱桂华.基于Copula-EVT模型的我国股票市场流动性调整的VaR和ES研究[J].数理统计与管理,2010,29(1). |
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| 作者姓名： | 刘晓星 邱桂华 |
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| 作者单位： | 1. 复旦大学金融研究院,上海,200433
2. 广东商学院金融学院,广东,广州,510320 |
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| 基金项目： | 国家自然科学基金项目(70973028); 中国博士后基金项目(20070410665); 教育部人文社科项目(07JC790022); 广东省自然科学基金项目(7301175)的资助 |
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| 摘 要： | 结合相依结构函数Copula和极值理论EVT,构建了我国股票市场经流动性调整的La-Copula-EVT风险价值模型,并用沪深收益序列的分笔高频数据进行了实证分析,发现我国沪深股市收益序列的上尾和下尾都存在较高相关性,后验测试结果表明构建的模型能够对实际损失进行很好的拟合;然后在该模型的基础上进一步分析了我国沪深股市的风险价值和预期不足在不同置信区间的敏感度差异,确定了适合La-Copula-EVT模型的最优置信度区间。
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| 关 键 词： | Copula-EVT 流动性 风险价值VaR 预期不足ES |
Research of Liquidity Adjusted VaR and ES in China Stock Market Based on Copula-EVT Model |
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| LIU Xiao-xing,QIU Gui-hua.Research of Liquidity Adjusted VaR and ES in China Stock Market Based on Copula-EVT Model[J].Application of Statistics and Management,2010,29(1). |
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| Authors: | LIU Xiao-xing QIU Gui-hua |
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| Institution: | LIU Xiao-xing~(1,2) QIU Gui-hua~1 (1.Finance Department of Guangdong University of Business Studies,Guangdong Guangzhou 510320,China,2.Institute For Financial Studies FuDan University,Shanghai 200433,China) |
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| Abstract: | Using both dependence structure function of Copula and EVT(extreme value theory),this paper constructed a La-Copula-EVT model in china stock market,and also analyzed the return serials based on the sub-T high-frequency data in both Shanghai and Shenzhen stock markets.And found that there exists high relevance between Shanghai and Shenzhen stock markets for both upper tail and lower tail.The result of the back-testing showed that the model could fit the actual loss very well.Then,this paper analyzed the sens... |
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| Keywords: | Copula-EVT liquidity value at risk(VaR) expected shortfall(ES) |
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