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| 基于Clayton Copula-GARCH模型投资组合VaR的度量 | |
| 引用本文： | 李明,刘喜波,何慧,姚沛. 基于Clayton Copula-GARCH模型投资组合VaR的度量[J]. 数学的实践与认识, 2013, 43(6) |
| 作者姓名： | 李明 刘喜波 何慧 姚沛 |
| 作者单位： | 1. 北方工业大学经济管理学院,北京,100144 2. 北方工业大学理学院,北京,100144 3. 石家庄信息工程职业学院商贸类专业群国际贸易系,河北石家庄,050035 |
| 基金项目： | 北京市教育委员会科技发展计划项目，北京市教学专项(专业建设 |
| 摘 要： | 运用Copula方法研究了含股指期货的投资组合的风险度量问题.首先采用不同的GARCH模型对单个资产收益率建模,然后选择Clayton Copula函数来描述投资组合各资产之间的相关结构,建立联合分布模型,进而采用Monte Carlo方法模拟产生各资产的收益率序列,计算出投资组合的VaR.Kupiec检验表明,ClaytonCopula-GARCH模型在投资组合风险度量上具有较高的准确性. |
| 关 键 词： | Copula Monte Carlo模拟 VaR |
Estimation of Portfolio VaR under Clayton Copula-GARCH model |
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| LI Ming , LIU Xi-bo , HE Hui , YAO Pei. Estimation of Portfolio VaR under Clayton Copula-GARCH model[J]. Mathematics in Practice and Theory, 2013, 43(6) | |
| Authors: | LI Ming LIU Xi-bo HE Hui YAO Pei |
| Abstract: | In this paper,we use Copula method to measure VaR of portfolio which contain stock index futures.First,choose different GARCH models to fit each asset return series, second,select Clayton Copula function to describe the relational structure between each asset of the portfolio and build joint distribution model,third,use Monte Carlo method to produce each return sequence of the assets,and then calculate VaR of the portfolio.Kupiec inspection showed that the VaR measure method based on Clayton Copula-GARCH model is effective. |
| Keywords: | copula monte carlo method VaR |
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