基于Copula-kernel模型的流动性VaR分析被引量：1

Liquidity VaR Research Based on Copula-kernel Model

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摘要传统VaR方法在衡量投资组合的风险上存在诸多缺陷,针对BDSS模型进行改进,基于相对价差得到了再修正的BDSS模型以计量流动性风险.实证分析表明,Copula-kernel模型对多元收益率和相对价差序列的拟合程度都很高,且La-VaR中的流动性风险部分随着置信度的减小而逐渐显著,返回测试表明无论置信度的高低,在大多数情况下La-VaR都不会低估风险. Traditional VaR method has many defects in measuring portfolio risk,this paper modifies BDSS model based on relative spread to measnre ligmidity risk. The empirical analysis shows that Copula-kernel model can accurately fit multiple yield and relative spread order, and the part of liquidity risk in the La-VaR is gradually significant with the decrease of confidence c. The back testing shows that La-VaR may not underestimate risk in most cases whatever confidence c is high or low.

作者肖星火苏锡坤

机构地区华南理工大学工商管理学院

出处《河南科学》 2013年第4期547-551,共5页 Henan Science

关键词 COPULA VAR MONTE CARLO模拟核密度估计流动性风险 Copula VaR Monte Carlo simulation kernel density estimation liquidity risk

分类号 F830 [经济管理—金融学]

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参考文献3

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