收稿日期: 2009-11-03
修回日期: 2010-03-05
网络出版日期: 2010-07-15
基金资助
中国科学院知识创新工程重要方向项目(KJCX3-SYW-S02)资助
Analysis of portfolio VaR by pair copula-GARCH
Received date: 2009-11-03
Revised date: 2010-03-05
Online published: 2010-07-15
提出了多资产组合风险分析的pair copula-GARCH 模型.相比于以往的copula-GARCH模型,它能够更好描述投资组合中两两资产间的尾部相关性的差异,从而更好地度量多资产组合间的相依结构.在此基础上,还探讨了pair copula-GARCH 模型下的多资产线性组合的VaR的计算方法.最后给出模型的实证分析.
关键词： pair copula; GARCH; Monte Carlo; VaR
黄恩喜 , 程希骏 . 基于pair copula-GARCH模型的多资产组合VaR分析[J]. 中国科学院大学学报, 2010 , 27(4) : 440 -447 . DOI: 10.7523/j.issn.2095-6134.2010.4.002
We propose a pair copula-GARCH model to analyze the risk of Multi-asset portfolio. Compared to other Copula-GARCH models,our method can capture the tail dependence of different pairs of risk factors in a portfolio so that it can describe the dependence structure of the risk factors better. By using this model combined with Monte Carlo techniques, the numerical analysis of portfolio VaR is fully discussed in this paper. Finally, the empirical portfolio risk analysis is given.
Key words： pair copula; GARCH; Monte Carlo; VaR
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