| 基于Pair-Copula的社保基金投资组合风险测度研究 |
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| 引用本文： | 江红莉,何建敏.基于Pair-Copula的社保基金投资组合风险测度研究[J].统计与信息论坛,2011,26(8):28-34. |
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| 作者姓名： | 江红莉 何建敏 |
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| 作者单位： | 东南大学经济管理学院; 江苏南京211189 |
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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) |
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| 摘 要： | 社保基金是社会保障事业健康发展的基石，风险管理是社保基金保值增值的关键问题之一。提出pair—copula—GARCH—EVT模型以测度社保基金投资组合风险，与传统的n维。copula—GARCH—EVT模型相比，该模型不仅考虑了维数的影响，而且还能灵活地选择copula的类型。实证研究发现，基于pair—cOpula—GARCH--EVT模型测度社保基金投资组合风险的准确性要高于传统的copuIa--GARCH--EVT模型。
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| 关 键 词： | 社保基金Pair-Copula多元Copula GARCH极值理论 |
A Research on Risk Measurement of Social Insurance Fund Portfolio Based on Pair-Copula |
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| JIANG Hong-li,HE Jian-min.A Research on Risk Measurement of Social Insurance Fund Portfolio Based on Pair-Copula[J].Statistics & Information Tribune,2011,26(8):28-34. |
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| Authors: | JIANG Hong-li HE Jian-min |
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| Institution: | JIANG Hong-li,HE Jian-min(School of Economics & Management,Southeast University,Nanjing 211189,China) |
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| Abstract: | Social insurance fund is the base of social insurance business's development.Risk management is one of keys to the value preservation and increment of social insurance fund.The model of pair-copula-GARCH-EVT is put forward in order to measure the risk of social insurance fund portfolio in this paper.Compared with traditional multivariable copula-GARCH-EVT model,the model of pair-copula-GARCH-EVT can consider the influence of dimensions,and can select the type of copula flexibly.The empirical research shows ... |
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| Keywords: | social insurance fund pair-copula multivariable copula GARCH EVT |
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