Analysis of portfolio VaR by pair copula-SV models.Analysis of portfolio VaR by pair copula-SV models[J].Journal of Yanbian University,2014,40(04):340-345.
基于pair copula-SV模型的资产组合风险度量
- Title:
- Analysis of portfolio VaR by pair copula-SV models
- 关键词:
- pair copula; SV模型; 马尔可夫蒙特卡洛法; Monte Carlo模拟; 风险价值
- Keywords:
- pair copula; SV model; MCMC; Monte Carlo simulation; VaR
- 分类号:
- F830
- 文献标志码:
- A
- 摘要:
- 将SV模型与pair copula模型相结合,构造了一个pair copula-SV模型,并借助Monte Carlo方法度量了资产组合的风险价值.选取4支股票构成资产组合进行实证分析,结果表明该模型的拟合效果较好,具有一定的实际应用价值,同时能够反映风险度量领域的发展趋势.
- Abstract:
- By means of a combination of the SV model and pair copula model, we constructed the pair copula-SV model, and further measured the VaR value of the asset portfolio by using the Monte Carlo simulation method. Through empirical analysis of the asset portfolio composed by 4 stocks, the results showed that the model fitting effect is good, and it not only has certain practical value, but also reflects the development trend in the field of risk measurement.
参考文献/References:
[1] 余素红,张世英.SV与GARCH模型对金融时间序列刻画能力的比较研究[J].系统工程,2002,20(5):28-33.
[2] Sklar A. Fonctions de repartition an dimensions etleurs marges[J]. Publication de 1’Institut de Statistique de 1’Universite de Paris, 1959,8:229-231.
[3] 战雪丽,张世英.基于Copula-SV模型的金融投资组合风险分析[J].系统管理学报,2007,16(3):302-306.
[4] 包卫军,徐成贤.基于SV-Copula模型的相关性分析[J].统计研究,2008,25(10):100-104.
[5] Aas K, Czado C, Frigessi A. Pair-copula constructions of multiple dependence[J]. Insurance: Mathematics and Economics, 2009,44:182-198.
[6] Joe H. Multivariate models and dependence concepts[M]. London: Chapman & Hall, 1997.
[7] Bedford T, Cooke R M. Vine-a new graphical model for dependent random variables[J]. Annals of Statistics, 2002,30(4):1031-1068.
[8] 郭卫超.基于SV模型的中国股市波动性实证研究[D].青岛:青岛大学经济学院,2010:17.
[9] 刘凤芹.基于DIC准则的SV族模型的比较[J].统计与决策,2004,9(177):24-25.
[10] 黄恩喜,程希骏.基于pair copula-GARCH模型的多资产组合VaR分析[J].中国科学院研究生院学报,2010,27(4):440-447.
[11] Akaike H. Fitting autoregressive models for prediction[J]. Ann Inst Statics Math, 1969,21:不详.
[12] 高江.藤Copula模型与多资产投资组合VaR预测[J].数理统计管理,2013,32(2):247-258.
备注/Memo
收稿日期: 2014-07-23 作者简介: 刘昆仑 䥺Symbol`@@ (1981—),女,讲师,研究方向为应用概率统计与VaR理论.基金项目: 国家自然科学基金资助项目(71301166); 齐鲁师范学院青年基金资助项目(2014L1003,2014L1001)