基于多元GARCH与极值理论的资产组合风险测度研究

Study on Risk Measurement of Portfolio Based on Multivariate GARCH and Extreme Value Theory

在运用多元GARCH模型对资产组合损失的协方差矩阵进行建模的基础上,估计出组合的标准残差序列;然后,运用EVT对标准残差的极值尾部建模并估计出分位数,进而测度资产组合的动态极值风险;最后,再运用返回测试方法对模型准确性进行检验。研究结果表明,运用多元GARCH模型能够有效捕获多元资产损失的时变相关性特征;资产组合条件损失的标准残差极值尾部服从GPD;结合多元GARCH模型与EVT的风险模型能够测度所构造的多元资产组合的动态风险。

This paper applies the multivariate GARCH and Extreme Value Theory to construct asset portfolio risk measurement model.This paper applies multivariate GARCH to model covariance matrix of asset portfolio loss,and to calculate the standardized residual series of portfolio loss,and then applies EVT to model the extreme tail of standardized residual series,and measure portfolio dynamic extreme risk,at last,this paper applies Back-testing method to check the accuracy of the different risk models.Our result show that multivariate GARCH model can capture the time varying correlations of different losses effectively;the distribution of extreme tail is close to GPD;multivariate GARCH and EVT can measure the dynamic risk of asset portfolio accurately.