摘要
结合Copula技术和GARCH模型,建立了投资组合风险分析的Copula-GARCH模型。由于该模型可以捕捉金融市场间的非线性相关性,因而可用于投资组合VaR的分析。利用这个模型,结合Monte Carlo模拟技术,对我国第一支开放式基金──华安创新基金的投资组合进行了风险分析。
Combining Copula and GARCH model, a Copula GARCH model was built to do portfolio risk analysis. As the model can find the nonlinear correlation in financial market, it is able to do portfolio VaR analysis. By this model, using the data from HuaAn Funds empirical portfolio risk analysis is made in Chinese open-end funds.
出处
《财经理论与实践》
CSSCI
北大核心
2008年第4期54-57,共4页
The Theory and Practice of Finance and Economics
基金
国家社科基金(08BJY159)
