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基于Copula的外汇投资组合风险分析 被引量：50

Risk Analysis of Foreign Exchange Markets by Copula
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摘要 本文简要介绍了ArchimedeanCopula,并运用ArchimedeanCopula给出了确定两种外汇最小风险(VaR)投资组合的方法。并用这个方法,对欧元和日元的投资组合做了相应的风险分析,得到了二者的最小风险投资组合,并对不同置信水平下VaR和组合系数做了敏感性分析。 In this paper risk analysis of two-assets portfolio is investigated using Archimedean Copula.The least VaR portfolio of two-assets portfolio can be found by selecting proper Copula.In the practice of foreign exchange markets,the least VaR portfolio of European dollar and Japanese yen is gotten.Also the sensitivity of VaR to the combination coefficients is given.
作者 吴振翔 叶五一 缪柏其
机构地区 中国科学技术大学统计与金融系
出处 《中国管理科学》 CSSCI 2004年第4期1-5,共5页 Chinese Journal of Management Science
基金 国家自然科学基金资助项目(10071082) 教育部博士点基金(20010358022) 中国科学院和中国科技大学创新基金资助
关键词 ARCHIMEDEAN COPULA VaR(Value at Risk) 投资组合 外汇 Archimedean Copula VaR(Value at Risk) portfolio foreign exchange
分类号 F830.92 [经济管理—金融学] O211.3 [理学—概率论与数理统计]
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参考文献12

  • 1Schweizer,B.and A.Sklar, Probbabilistic Metric Spaces[M].North-Holland/Elsevier,New York,1983.
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二级参考文献21

  • 1[1]Nelsen, R. B (1998), An Introduction to Copulas, Lectures Notes in Statistics, 139,Springer Verlag, New York.
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共引文献373

同被引文献541

引证文献50

二级引证文献404

中国管理科学
2004年 第4期

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