摘要
与线性相关系数相比,相关结构函数能够更充分地描述风险之间的相关性。目前,形式相对简单的正态相关结构已经逐渐应用于资产定价、风险管理等金融领域。本文引入t相关结构与正态相关结构相比较,提出一种方法选择合适的相关结构描述亚洲即期外汇汇率的相关性,同时可广泛应用于分析股票、期权等许多金融资产的相关性。
Contrasted with the linear correlation, copula can describe the dependence better. This paper presents the conceptions of copula, correlation matrix with normal copula and correlation matrix with t-copula. Finally, using the spot exchange rates of three Asia countries, we work out the VaRs under different copulas with these correlation matrixes and choose the appropriate dependence structure to describe the dependence between the spot exchange rates through contrasting these VaRs with the empirical ones at lower level quantities.
出处
《系统工程》
CSCD
北大核心
2005年第6期90-94,共5页
Systems Engineering
基金
南开大学天津大学刘徽应用数学中心资助项目
