耦合风险视角下基于GARCH-Copula模型的基金组合风险研究

Fund portfolio risk based on GARCH-Copula model from the perspective of coupled risk

在资本市场不断多样化的投资方式中,投资组合以其相对稳定的风险与收益而得到广泛应用,其中基金组合凭借在收益一定的情况下的低风险成为投资者关注的热门品种.传统的投资组合研究大多只考虑市场风险的影响,忽略了信用风险的耦合效应,从而往往导致对组合总体风险的低估.首先借助于GARCH模型获得边缘分布,然后选择Copula函数刻画各基金之间的相关结构,建立联合分布模型,进而采用Monte Carlo方法模拟生成基金组合中各基金的收益率序列,最后根据损失函数计算基金组合的风险价值.实证结果表明,市场风险大的基金组合其信用风险不一定大,并且基金组合能有效分散基金风险.同时,耦合风险视角下基金组合的CVaR值大于市场风险视角下的CVaR值,耦合风险能更好地衡量基金组合的风险.另外,Student t-Copula模型较之其它模型能更好地刻画耦合风险的联合相依结构.

Among the various diversified investment tools in the capital market,fund portfolio,with relatively low risks and good returns,is popular with investors. Traditional portfolio researches mainly consider the impact of market risk and ignore the coupled effect of credit risk and market risk,which often leads to underestimation of the overall risk of the portfolio. The edge distribution of the fund return is described with the GARCH model,and then the Copula function is used to describe the related structures between funds to establish the joint distribution model. Monte Carlo method is used to simulate the return sequence of funds in the fund portfolio. Finally,the value at risk of fund portfolios is calculated according to the loss function. The empirical results show that:( i) the credit risk of the fund portfolio is not necessarily greater when its market risk is greater,and the fund portfolio can effectively diversify fund risk;( ii) the CVaR of the coupled risk of fund portfolios is greater than the CVaR of market risk,which shows that coupled risk is better than market risk in measuring the overall risk when there is underestimation of the risk of fund portfolios;( iii) compared with Gaussian model,the student t-Copula model can better depict the co-dependent structure of coupled risks.