【风险管理】Ch06相关性度量Copula.ppt

估计相关系数 例：假设 ， 已知变量X及Y在n-1天的数据： 相关系数估计为 波动率估计为：1%，2% X和Y的百分比变化：0.5%，2.5% 如何找X和Y的相关系数 ？ 多元正态分布概率密度 多元概率密度： 二元概率密度： 推导思路 记二元平均和方差为： 条件密度函数 条件密度： 边际密度： Copula 的基本思想 构造多元分布函数的方法 每个分量的边际分布+相关 多元分布 Copula提供相关的表示 Copula 是借用了语言中系动词的名称，因为它们有相似性 * * * * The Correlation Structure Between the V’s is Defined by that Between the U’s * -0.2 0 0.2 0.4 0.6 0.8 1 1.2 -0.2 0 0.2 0.4 0.6 0.8 1 1.2 V 1 V 2 -6 -4 -2 0 2 4 6 -6 -4 -2 0 2 4 6 U 1 U 2 One - to - one mappings Correlation Assumption V 1 V 2 -6 -4 -2 0 2 4 6 -6 -4 -2 0 2 4 6 U 1 U 2 One - to - one mappings Correlation Assumption Example * V1 V2 V1 Mapping to U1 一一映射（percentile-to-percentile） * V1 Percentile U1 0.2 20 -0.84 0.4 55 0.13 0.6 80 0.84 0.8 95 1.64 V2 Mapping to U2 * V2 Percentile U2 0.2 8 ?1.41 0.4 32 ?0.47 0.6 68 0.47 0.8 92 1.41 Example of Calculation of Joint Cumulative Distribution Probability that V1 and V2 are both less than 0.2 is the probability that U1 ?0.84 and U2 ?1.41 When copula correlation is 0.5 this is N( ?0.84, ?1.41, 0.5) = 0.043 where N is the cumulative distribution function for the bivariate normal distribution * Other Copulas Instead of a bivariate normal distribution for U1 and U2 we can assume any other joint distribution One possibility is the bivariate Student t distribution Student t copula * 5000 Random Samples from the Bivariate Normal 二元正态分布的尾部相关性 * 5000 Random Samples from the Bivariate Student t 二元student t 分布的尾部相关性 * Multivariate Gaussian Copula We can similarly define a correlation structure between V1, V2,…Vn We transform each variable Vi to a new variable Ui that has a standard normal distribution on a “percentile-to-percentile” basis. The U’s are assumed to have a multivariate normal distribution 多元高斯copula * Factor Copula Model In a factor copula model the correlation structure between the U’s is generated by assuming one or more factors. 因子copula * Credit De