| 基于ArchimedeanCopula方法的VaR估计 |
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| 引用本文： | 方国久,钟波.基于ArchimedeanCopula方法的VaR估计[J].重庆工学院学报,2008,22(8). |
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| 作者姓名： | 方国久 钟波 |
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| 作者单位： | 重庆大学数理学院 |
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| 摘 要： | 应用了ArchimedeanCopula方法计算了投资组合VaR值,介绍了该方法函数的选择及参数估计,通过对上证综指和浦发银行2只股票的收益率投资组合的VaR计算表明,由GumbelCopula模拟得出的结果与实际数据差距小,能很好地度量股市间的风险.
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| 关 键 词： | Copula VaR Kendall秩相关系数τ 投资组合 |
VaR Estimation Based on Archimedean Copula Method |
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| FANG Guo-jiu,ZHONG Bo.VaR Estimation Based on Archimedean Copula Method[J].Journal of Chongqing Institute of Technology,2008,22(8). |
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| Authors: | FANG Guo-jiu ZHONG Bo |
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| Abstract: | The Copula technique is used to calculate the portfolio VaR values.The choice and parameter estimation of the functions of this method is introduced. By calculating the VaR values of the return rate portfolio of Shanghai Stock Exchange Composite Index and two stocks of Shanghai Pudong Development Bank,it is found that the results obtained with Gumbel Copula simulation has little difference from actual data,which can be a good measure of the risk of the stock market. |
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| Keywords: | Copula VaR Kendall portfolio |
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