| 投资组合动态VaR预测模型和预测精度评价 |
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| 引用本文： | 余建干,吴冲锋.投资组合动态VaR预测模型和预测精度评价[J].北京交通大学学报(社会科学版),2014(3):29-39. |
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| 作者姓名： | 余建干 吴冲锋 |
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| 作者单位： | 上海交通大学安泰经济与管理学院,上海200052 |
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| 基金项目： | 国家自然科学基金重大项目“金融市场不同机制创新及产品创新的价值和风险关系研究”（71320107002）;国家自然科学基金项目“考虑生产结构的企业风险规避及其市场均衡研究”（71201100）. |
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| 摘 要： | 采用4种Backtesting检验方法,检验22个常态和时变投资组合动态VaR预测模型的风险预测精度,发现GJR_GPD_TV_Copula具有最高的投资组合风险预测精度,GJR_GPD_Copula的拟合、密度预测和组合风险预测精度都要高于GJR_SKST_Copula,且Copula模型的组合风险预测精度分别与拟合精度和密度预测精度存在较弱的正相关关系.
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| 关 键 词： | Monte Carlo模拟 极值理论 返回检验 |
Portfolio Dynamic VaR Forecast Model and Its Performance Evaluation |
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| YU Jian-gan,WU Chong-feng.Portfolio Dynamic VaR Forecast Model and Its Performance Evaluation[J].Journal of Beijing Jiaotong University Social Sciences Edition,2014(3):29-39. |
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| Authors: | YU Jian-gan WU Chong-feng |
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| Institution: | (Antai College of Economics and Management, Shanghai Jiaotong University, Shanghai 200052, China) |
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| Abstract: | Backtests the accuracy of risk prediction of 22 portfolio dynamic VaR forecast models with four methods. The results show that, first, the GJR-GPD-TV-Copula is the highest in portfolio risk prediction accuracy; second, the fitting, density forecasting and portfolio risk prediction accuracy of GJR-GPD-Copula are higher than those of the GJR-SKST-Copula; third, the portfolio risk prediction accuracy is weakly positively correlated with the fitting accuracy and density prediction accuracy of the Copula model. |
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| Keywords: | Monte Carlo simulation extreme value theory backtesting |
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