基于R Vine Copula的VaR模型期货市场的风险度量
Risk measurement of VaR mode futures market based on R-Vine Copula
陈金图 1刘武强1
作者信息
- 1. 闽南科技学院 商学院,福建 泉州 362332
- 折叠
摘要
按照传统投资组合的观点,投资者通过投资于低相关性的不同资产可以起到分散风险的作用,资产与资产之间的关系一般以线性相关性来衡量.然而,不同资产之间的关系并非纯粹的线性相关,现实中不同资产之间具有不同的线性相关,但又往往在同一个时间点发生极端的风险损失.构建基于R Vine Copula的VaR风险度量模型,采用Copula模型获得了不同期货资产收益率的相依结构,测算出不同期货资产之间的尾部相依系数,并计算出这些期货资产之间的联合分布和条件分布,在此基础上对各资产在条件相依结构下的VaR进行估计,最后对这些期货资产的VaR进行Kupiec检验,检验结果验证了该模型估计风险的准确性和有效性.
Abstract
According to the traditional view of investment portfolios,investors can diversify their risk by investing in different assets with low correlation,and the relationship between assets is generally measured by linear correlation.However,the relationship between different assets is not purely linear.In reality,different assets have different linear correlations,but extreme risk losses often occur at the same time point.This paper constructs a VaR risk measure-ment model based on R-Vine Copula.The Copula model is used to obtain the dependent structure of the rate of re-turn of different futures assets,calculate the tail dependency coefficient between different futures assets and the joint distribution and conditional distribution between these futures assets.On this basis,the VaR of each asset under the conditional dependent structure is estimated.Finally,this paper conducts Kupiec test on the VaR of these futures as-sets,and the test results verify the accuracy and effectiveness of the risk estimation model.
关键词
Vine/Copula/VaR模型/期货市场/返回检验/风险度量Key words
Vine Copula/VAR model/futures market/return check/risk measurement引用本文复制引用
基金项目
福建省教育厅中青年科研项目(JAS22221)
出版年
2024
NETL
NSTL
万方数据