摘要
在对资产组合的研究中采用pair-copula法构建了反映多个资产收益实际分布和相依性的联合分布函数,对每个pair-copula用二元时变copula替换原先的二元静态copula得到时变pair-copula,并结合蒙特卡洛模拟技术,给出投资组合的风险价值VaR的计算方法,最后通过实证分析验证了该模型的有效性和优越性.
A pair-copula method was used to construct the practical distribution of multiple asset returns and joint distribution function of dependency for studying portfolio.Then,time-varying pair-copula was obtained by the bivariate time-varying copula instead of the bivariate static copula.With Monte Carlo simulation technique,the calculation method of portfolio VaR was given.Finally,the advantage and feasibility of this model are proved through empirical analysis.
基金
中国科学院知识创新重要方向项目(KJCX3-8YW-S02)资助
