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基于动态Copula的社保基金投资风险测度 被引量：2

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摘要 考虑到现阶段社保基金主要投资于股票和债券,以"社保重仓"和国债指数构建投资组合代表社保基金投资组合,基于GARCH-时变Copula模型测度社保基金投资组合的动态风险。实证研究发现:"社保重仓"和国债指数间的相关性具有较强的持续性,两者间相关性的变化与股市的波动具有一致性;时变Copula模型的VaR预测效果优于非时变模型,时变t-Copula的建模效果最好;以经风险调整的收益率(R_VaR)为判断标准,若4%的社保基金投资于股票,96%的投资于债券,社保基金投资达到了最优组合。
作者 李超杰 江红莉
机构地区 河海大学商学院 交通银行国际业务部 东南大学经管学院
出处 《统计与决策》 CSSCI 北大核心 2011年第23期147-150,共4页 Statistics & Decision
基金 国家自然科学基金资助项目(71071034)
关键词 社保基金 动态风险 动态Copula GARCH
分类号 F840-32 [经济管理—保险]
  • 相关文献

参考文献13

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二级参考文献16

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共引文献57

同被引文献19

  • 1Alexander G J, Baptista A M. Active Portfolio Management with Benchmarking: Adding a Value-at-risk Constraint[J]. Journal of Eco- nomic Dynamics and Control, 2008, 32(3).
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引证文献2

二级引证文献1

统计与决策
2011年 第23期

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