基于pair copula-SV模型的资产组合风险度量

Analysis of portfolio VaR by pair copula-SV models

将SV模型与pair copula模型相结合,构造了一个pair copula-SV模型,并借助Monte Carlo方法度量了资产组合的风险价值.选取4支股票构成资产组合进行实证分析,结果表明该模型的拟合效果较好,具有一定的实际应用价值,同时能够反映风险度量领域的发展趋势.

By means of a combination of the SV model and pair copula model,we constructed the pair copula-SV model,and further measured the VaR value of the asset portfolio by using the Monte Carlo simulation method.Through empirical analysis of the asset portfolio composed by 4 stocks,the results showed that the model fitting effect is good,and it not only has certain practical value,but also reflects the development trend in the field of risk measurement.