基于pair copula-GARCH模型的多资产组合VaR分析被引量：24

Analysis of portfolio VaR by pair copula-GARCH

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摘要提出了多资产组合风险分析的pair copula-GARCH模型.相比于以往的copula-GARCH模型,它能够更好描述投资组合中两两资产间的尾部相关性的差异,从而更好地度量多资产组合间的相依结构.在此基础上,还探讨了pair copula-GARCH模型下的多资产线性组合的VaR的计算方法.最后给出模型的实证分析. We propose a pair copula-GARCH model to analyze the risk of Multi-asset portfolio.Compared to other Copula-GARCH models,our method can capture the tail dependence of different pairs of risk factors in a portfolio so that it can describe the dependence structure of the risk factors better.By using this model combined with Monte Carlo techniques,the numerical analysis of portfolio VaR is fully discussed in this paper.Finally,the empirical portfolio risk analysis is given.

作者黄恩喜程希骏

机构地区中国科学技术大学统计与金融系

出处《中国科学院研究生院学报》 CAS CSCD 北大核心 2010年第4期440-447,共8页 Journal of the Graduate School of the Chinese Academy of Sciences

基金中国科学院知识创新工程重要方向项目(KJCX3-SYW-S02)资助

关键词 PAIR COPULA GARCH Monte Carlo VaR pair copula GARCH Monte Carlo VaR

分类号 F830.9 [经济管理—金融学]

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参考文献8

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