摘要
引入Copula函数来改进传统的VaR方法,构建出Copula-VaR模型。通过蒙特卡罗模拟实证金融资产组合收益的各种VaR值,结果表明,Copula-VaR模型能够更精确地测度出金融资产组合的在险价值风险。
Based on Copula Function,the VaR method has been improved and the new Copula-VaR mode has been built.Through the empirical research on the financial assets portfolio,the paper gets VaR results,and the empirical results suggest that the Copula-VaR model can measure the value at risk of the financial assets portfolio more exactly.
出处
《财经理论与实践》
CSSCI
北大核心
2012年第6期48-52,共5页
The Theory and Practice of Finance and Economics
基金
教育部新世纪人才支持计划(NCET-08-186)
