三种CopulaVaR计算方法与传统VaR方法的比较.pdfVIP

∀ 154 ∀ #数量经济技术经济研究∃ 2007 年第2 期 三种CopulaVaR 计算方法与 传统VaR 方法的比较 柏满迎 孙禄杰 ( 北京航空航天大学经济管理学院) ! 金融风险测量VaR 方法广泛应用于 行等金融机构, Copula 技术以 其处理非正态联合分布函数所具有的良好性质逐渐成为国内外研究的热点本文将 Copula 理论应用于VaR 的计算方法, 并与传统的VaR 方法进行比较, 通过美元和欧 元组合的实证研究, 得到基于Copula 的VaR 方法能够更加有效地测量风险的结论 Copula VaR GARCH 汇率 F8309 A The Comparison between Three CopulaVaR Approaches and Traditional VaR Methods Abstract : T he financial risk measurement VaR approach has een w idely ap plied in ank and the other financial institutionsM eanw hile, Copula technique has ecome the hotspot all over the w orld w ith its good characteristics of dealing the non- normal distri utionT his article applies the Copula theory in the calculation of VaR, comparing three CopulaVaR methods and the traditional VaR meth odsThrough the empirical research of the portfolio w ith USdollar and Euro dollar, w e get a conclusion that the Copula ased VaR approach does etter in the risk management Key words: Copula; V aR; GARCH; Exchange Rate VaR 20 , , , , , , , , Or : ( 705210017053101070571004) 三种CopulaVaR 计算方法与传统VaR 方法的比较 ∀ 155 ∀ ange ( ) , , , VaR 20 80 , 20 , V aR , VaR , VaR , , VaR , c , z , V aR, = 1- c , P ( z % VaR ) = z = z 0 ( 1+ r ) , , , VaR , P ( r % VaR ) = , V aR VaR , VaR , JP Morgan Risk Metrics delta deltagamma , , , VaR , VaR VaR : Copula VaR Copula ∋ ( , Copula x