| 具有时变自由度的t-copula蒙特卡罗组合收益风险研究 |
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| 引用本文： | 高岳,王家华,杨爱军.具有时变自由度的t-copula蒙特卡罗组合收益风险研究[J].中国管理科学,2011,19(2):10-15. |
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| 作者姓名： | 高岳 王家华 杨爱军 |
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| 作者单位： | 南京审计学院金融学院, 江苏南京 211815 |
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| 基金项目： | 江苏省教育厅2009年度高校哲学社会科学基金项目(09SJB790024);南京审计学院2010年度高层次引进人才经费资助(NSRC1003);“青蓝工程”项目资助 |
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| 摘 要： | 应用时变条件t-copula函数描述股票指数收益序列之间的时变相依结构。时变条件t-copula模型的难点在于如何设定时变相依参数的演化方程,本文建立了用于描述包含时变自由度在内的所有时变相依模型参数的演化方程。进而采用蒙特卡洛仿真方法计算了各种指数组合的VaR,分析了道琼斯指数与标准普尔指数组合风险的演化趋势,并对结果进行后验测试,结果表明,时变条件t-copula函数仿真估计VaR可以覆盖最大损失风险。
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| 关 键 词： | 时变 自由度 Copula VaR |
| 收稿时间： | 2009-9-3 |
| 修稿时间： | 2011-2-28 |
Estimation on Portfolio Risk via Time-varying T-copula and Monte-carlo Method |
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| GAO Yue,WANG Jia-hua.Estimation on Portfolio Risk via Time-varying T-copula and Monte-carlo Method[J].Chinese Journal of Management Science,2011,19(2):10-15. |
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| Authors: | GAO Yue WANG Jia-hua |
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| Institution: | School of Finance, Nanjing Audit University, Nanjing 211815, China |
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| Abstract: | A time-varying t-copula model is used to investigate the dependence between return series of Dow Jones Industrial Average Index and S&;P 500INDEX.The difficulty of time-varying t-copula model is how to specify evolution equation of time-varying dependence parameters.A new evolution equation have been established to describe time-varying parameters including time-varying related correlation coefficient and degree of freedom.Moreover,stimulated portfolio return series is generated by monte-carlo method in order to get VaR of different portfolios.Next,a simple analysis on the risk trend of these portfolios is given here.The VaR results are tested by backtesting method,the result of these tests shows that VaR series calculated by time-varying copula model have a good coverage rate to factual lost. |
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| Keywords: | time-varying Copula VaR |
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