基于Copula-SV模型的金融投资组合风险分析

Risk Analysis of Financial Portfolio Based on Copula-SV Model

基于正态Copula函数和SV模型,建立了正态Copula-SV模型,将其应用到金融投资组合风险分析,并与Copula-GARCH模型对金融投资组合风险分析方法进行了对比,结果表明,边缘分布的选择对变量的联合分布具有重要作用,Copula-SV模型比Copula-GARCH模型在刻画组合风险VaR值方面具有优越性。

Copula function is an effective statistic method for constructing the combined distribution and the dependency structure of multi-dimension random variables which have different marginal distributions. The SV model describes the financial volatility better than the GARCH model. Models based on Copula- GARCH are in fashion. Based on the theory of Normal Copula and SV model, this paper gets the Copula- SV model to analyze the financial portfolio risk. The experiential result indicates that the Copula-SV model is better than the Copula-GARCH model in the field of VaR.