基于极值Copula的风险价值模型的研究.pdfVIP

20 4 山 东 科 学 Vol.20 No.4 2007 8 SHANDONG SCIENCE Aug.2007 2007) Copula 刘瑞花 ( , 250001) :Monte Carlo , GaussianStudentCopula, 12 199 VaR,4 , CopulaEVT VaR : ;; :F830.9 :A A ValueatRish Model Based on ConpulaEVT LIU Ruihua ( China Securities Co . , Ltd ,Jinan 250014,China) Abstract:The purpose of this paper is to present a method based on Monte Carlo Simulation to estimate portfolio ValueatRisk, assuming that the risk factor logreturns are generated from a multivariate distributionwith such edgenormal distribution as Gaussian or StudentCopula at the center and extreme valuedistribution at the tails. We apply the model to estimate the 99 VaR over a oneday holding period,and for a portfolio of twelve stocks to perform a back test procedure over a time window of four years,which provesthat theCopulaEVTbasedapproachoutperformsthetraditionalVaRmodelsassuming a conditional normal multivariate distributionused for riskfactor logreturns. Key words:Copula;extreme value theory (EVT);Monte Carlo Simulation , , , ,, , , , , ,, ( Copula) , , Copula, Copula :( 1973- ) , ,, 48 2007 Copula,Copula, , Copula F (x 1 , ,x 2), F 1(x 1), , Fn (x n ),Copula : C (F 1(x 1), , Fn (xn ))= F (x 1, ,x 2) (extreme value theory,EVT)VaR , ,, ,,VaR , , ,, VaR , Copula, Copula ,VaR,Monte Carlo , VaR ,Monte Carlo VaR, , 1 1.1 ,Monte Carlot [t , t + 1]n X N ( , )