copulasvged模型的投资组合风险分析word格式论文.docxVIP

摘要自上个世纪 70 年代布雷顿森林体系瓦解后，一些影响重大的金融危机频频发 生，造成世界经济环境剧烈动荡，人们投资所面临的风险日益复杂，这对风险管 理提出更高的要求。在风险管理的各种方法中，由于风险价值（VaR）能够在一定 置信水平下，把金融资产组合在一定时期内最大可能损失定量化，这是传统风险 计量指标所不能做到的，而 VaR 已成为度量金融风险的一种普遍使用的工具。但 传统的 VaR 计算都是假定单个资产收益呈正态分布和资产组合中不同资产收益间 呈线性相关关系的条件下进行的。大量实证研究表明，单个金融资产具有“尖峰厚 尾”性，而且资产之间存在着非线性关系。本文首先详细介绍了 VaR 模型产生的背景、计算方法、优缺点；讨论了 Copula函数的基本理论、性质、Copula 函数的参数估计方法和评价标准。其次，采用 SV 模型模拟单一资产收益率的分布，运用 Copula 理论描述资产 收益率之间的相依结构，构建了 Copula-SV 模型，并结合 VAR 计量工具和中国股 票市场的样本数据，进行了实证分析。从 3 种形式的 SV 模型中选出最佳的 SV-GED 模型和 3 个 Copula 函数中选出最佳的 Gumbel Copula 函数，取得了较好的实际成 果。对实际应用有一定的参考价值和指导意义。最后，全文作了总结和展望。关键词：Copula 函数；SV 模型；GED 分布； VaRABSTRACT70 years since the last century, after the collapse of the Bretton Woods system, some impact on major financial crisis occur frequently, which cause a heavy upheaval of the worlds economic environment. The risk of the investment environment people face has been complicated increasingly, which demands a better risk management. As value at risk (VaR) could, at a certain confidence level, make the most possible losses quantitative during a given period, which the traditional risk measurement indicators can not do. In the various ways of risk management, VaR has become a commonly used tool to measure the financial risks. However, the traditional VaR calculation is based on the normal distribution of individual asset returns and the linear relationship of portfolio risky assets returns. The large numbers of empirical studies have shown that a single financial asset has a spike tail, but also non-linear relationship exists between the assets.In this article, it first introduces the background of VaR models, its calculation methods, strengths and weaknesses in detail and discusses the basic theory and the nature of Copula functions, Copula function parameter estimation methods and evaluation criteria.Secondly, the article build the Copula-SV model which simulate the distribution of return on single asset by the SV model, and describe the correlation between assets by Copul