资产组合的集成风险度量及其应用__省略_拟合Copula函数的VaR方法_张金清.pdfVIP

　2008 6 6 　 :1000-6788(2008)06-0014-08 ———基于最优拟合Copula 函数的VaR 方法 张金清, 李　徐 ( , 200433) :　、Copula , Copula ., Frank-Copula Clayton-Copula VaR., Copula Copula , t . :　Copula ;;;;VaR :　F830.59　　　　　　　　:　A　　　 Portfolio integrated ri k mea urement and it application -VaR method ba ed on goodne -of-fit copula function ZHANG Jin-qing, LI Xu (In titute for Financial Studie , Fudan Univer ity, Shanghai 200433, China) Abstract:　The key to applying the copula function to mea ure integrated ri k of portfolio i to earch for the Goodne -of-fit copula.Thi paper propo e a method to determine the Goodne -of-fit copula by comparing and analyzing copula from different familie and type .The te t and analy i on empirical data of Shanghai and Shenzhen ecurity exchange te tify, Frank-Copula and Clayton-Copula re pectively apply to calculate VaR of portfolio integrated ri k under low and high confidence level.Under re pective confidence level, the method ba ed on the e two Copula are better than other Copula function , and much better than the traditional method ba ed on multivariate Gau ian di tribution and multivariate t di tribution. Key words:　Copula function ;portfolio;integrated ri k mea urement;Goodne -of-fit;VaR 1 　 ① , . 、、, , 、. , . , 、, ., Copula .Copula :1), “”;2) ., Copula 、 “”, , VaR . :2007-01-15 :;(07JA790023);“”(2106JS062); () 　　:(1965-), (), , 、、, , : 、;(1979-), (), , , , :. ①　, . 6 15 ① Sklar (1959)“Copula” , ,