基于Copula的股票型开放式基金的组合风险度量

Portfolio Risk Measurement of Open-end Stock Funds Based on Copula

本文在"推出股指期货和融资融券"的新政策下,结合t-EGARCH模型和Copula方法对股票型开放式基金进行分析.该模型能更好地捕捉资产间的非线性相关性,更符合现实市场.并在此基础上,利用蒙特卡洛模拟计算了景顺增长基金前十大重仓股票及其投资组合的VaR值,从而验证了模型的有效性。

Based on the new policy of pursuing stock index futures,financing and securities loan,we applied t-EGARCH model and Copula Theory to open-end stock funds.The model can capture the nonlinearity between assets better and suit the market reality.Based on this model,we applied Monte Carlo simulation to the method of calculating the VaR of the top ten shares of Jingshun Growth Fund and the investment portfolio,thus confirming the validity of the method.