考虑流动性协动效应的组合风险测度研究——基于动态D-vine copula模型

Portfolio Risk Measurement in the Situation of Considering Liquidity Commonality Effect——Based on Dynamic D-vine Copula Model

分别采用静态D-vine copula和动态D-vine copula拟合变量之间的复杂相依结构,进而测度考虑流动性协动效应的组合风险。纯粹的市场风险模型存在可能低估整体风险的问题。基于动态D-vine copula的风险模型的精度优于基于静态D-vine copula的风险模型,基于T-copula函数的风险模型优于基于N-copula函数的风险模型。流动性风险在不同市场阶段的表现存在差异。当整个市场处于严重下跌状态时,流动性风险将变得更加难以分散。

Static D-vine copula and dynamic D-vine copula were respectively used to fit the complex dependency structure between variables,and further to measure the portfolio risk in the situation of considering liquidity commonality effect.Pure market risk models might have the problem of underestimating the overall risk.The accuracy of the risk model based on dynamic D-vine copula was better than that based on static D-vine copula,and the accuracy of the risk model based on T-copula function was better than that based on N-copula function.There were differences in the performance of liquidity risks at different market stages.When the entire market was in a severe downturn,the liquidity risks became increasingly difficult to diversify.