中国外汇储备市场风险测度——基于GARCH-EVT-COPULA模型的利率和汇率风险集成分析

The Market Risk Measure of China's Foreign Exchange Reserves:An Analysis of the Interest Rate and Exchange Rate Risk Factors Based on the GARCH-EVT-COPULA Connect Model

在汇率和利率双重变动影响的背景下,中国外汇储备资产组合的市场风险引起了学界和市场的普遍关注。通过考虑汇率和利率两类基本市场风险因子,基于GARCH-EVT-COPULA模型和蒙特卡洛模拟方法对中国外汇储备市场风险进行测度。结果显示:在充分考虑汇率和利率两类基本市场风险因子条件下,现行外汇储备投资组合的整体市场风险相对于单一风险因子测度较低,两类市场风险因子在我国外汇储备组合中的风险对冲效应明显。此外,基于均值C-VaR优化的结果表明,适当降低欧元币种资产,有助于外汇储备组合提高收益并降低市场风险。

By considering the basic market risk factors of exchange rates and interest rates,the GARCH-EVT-COPULA model and the Monte-Carlo simulation method are used to measure the risk of China's foreign exchange reserve portfolio. The results show that when the basic market risks of exchange rates and interest rates are taken into full consideration, the overall market risk of the existing foreign exchange reserve portfolio is lower than that of the single risk factor,and the effect of the two types of market risk factors on the hedging effect of China's foreign exchange reserve portfolio is significant. In addition,based on the mean-CVaR optimization,lowering the euro currency assets appropriately will help the foreign exchange reserve portfolio to increase returns and reduce market risk.