| 关于单变点Copula风险价值测度分析 |
| |
| 引用本文： | 余平,史建红.关于单变点Copula风险价值测度分析[J].雁北师范学院学报,2011,27(5). |
| |
| 作者姓名： | 余平 史建红 |
| |
| 作者单位： | 山西师范大学数学与计算机科学学院,山西临汾,041004 |
| |
| 基金项目： | 山西省青年科技研究基金项目，山西师范大学自然科学基金项目 |
| |
| 摘 要： | Copula技术广泛地应用于金融领域,特别是在金融风险、投资组合、资产定价等方面,目前已成为解决金融问题的一个有力工具。在传统的利用Copula进行风险价值度量时,没有考虑到Copula结构的变化。论文用变点分析的方法对Copula相关结构进行分析,同时沪深股市为背景进行风险价值计算,得到结果是考虑Copula结构的参数变化进行风险价值测度更加合理.
|
| 关 键 词： | Copula函数 变点 拉普拉斯分布 蒙特卡洛模拟 |
A Copula-EVT Model for Measuring a Portfolios Risk |
| |
| YU Ping,SHI Jian-hong.A Copula-EVT Model for Measuring a Portfolios Risk[J].Journal of Yanbei Teachers College,2011,27(5). |
| |
| Authors: | YU Ping SHI Jian-hong |
| |
| Institution: | YU Ping,SHI Jian-hong(School of Mathematics and Computer Science,Shanxi Nomral University,Linfen Shanxi,041004) |
| |
| Abstract: | Copula technology is a powerful implement to solve finance problem,and it is widely used in finance filed especially in finance risk,portfolio,asset price.Traditionally,we apply Copula technology measure value at risk not consider the Copula structure.In this paper,we use change-point menthod analysis structure of the Copula to measure Value at Risk between Shanghai and Shenzhen stock market,the results show that considering the change in copula structure is more reasonable. |
| |
| Keywords: | Copula function change-point Laplace distribution Monte Carlo Simulation |
| 本文献已被 CNKI 万方数据 等数据库收录！ |
|
