| 基于时变Copula的La-VaR测度研究 |
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| 引用本文： | 江红莉,何建敏,胡小平.基于时变Copula的La-VaR测度研究[J].重庆大学学报(社会科学版),2013,19(3):27-32. |
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| 作者姓名： | 江红莉 何建敏 胡小平 |
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| 作者单位： | 江苏大学 财经学院，江苏 镇江212013;东南大学 经济管理学院，江苏 南京211102;东南大学 经济管理学院，江苏 南京211102 |
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| 基金项目： | 国家自然科学基金项目“基于复杂网络的银行间传染风险及其演化模型研究”（71071034）；江苏大学高级技术人才科研启动基金项目（12JDG130） |
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| 摘 要： | 目前关于流动性调整的市场风险测度研究,主要是静态模型。针对此,文章提出经流动性风险调整的市场风险动态测度的时变Copula方法。该方法使用连接函数构建流动性风险和市场风险的联合分布,能够兼顾这两种风险的非正态特征和它们之间的动态相关结构。基于该方法度量了中国股市经流动性调整的市场风险La-VaR,Kupiec检验表明,基于时变Copula模型预测La-VaR的效果优于基于常相关Copula模型的预测效果,并且时变T-Copula模型优于时变N-Copula模型。
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| 关 键 词： | 市场风险 流动性风险 经流动性调整的市场风险 时变Copula 极值理论 La-VaR |
Measurement of Liquidity-adjusted VaR Based on Time-varying Copula |
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| JIANG Hongli,HE Jianmin and HU Xiaoping.Measurement of Liquidity-adjusted VaR Based on Time-varying Copula[J].Journal of Chongqing University(Social Sciences Edition),2013,19(3):27-32. |
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| Authors: | JIANG Hongli HE Jianmin and HU Xiaoping |
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| Institution: | School of Finance and Economics, Jiangsu University, Zhenjiang 212013, P. R. China;School of Economics and Management, Southeast University, Nanjing 211102, P. R. China;School of Economics and Management, Southeast University, Nanjing 211102, P. R. China |
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| Abstract: | The research on liquidity-adjusted market risk is mainly based on static model at now. In this paper, the method of dynamic measurement of liquidity-adjusted market risk is proposed which is based on time-varying Copula. Time-varying Copula function is used to construct the joint distribution of liquidity risk and market risk, which can give attention to both non-normality of the two risks and their dynamic dependency. The liquidity-adjusted market risk La-VaR of Chinese stock market is calculated. The Kupiec test shows that, the time-varying Copula is better than constant correlation Copula in the aspect of forecasting the value of La-VaR, and the time-varying T-Copula is better than the time-varying Normal-Copula. |
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| Keywords: | market risk liquidity risk liquidity-adjusted market risk time-varying Copula EVT La-VaR |
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