基于copula的金融组合依赖条件风险测度研究

2008 International Seminar on Future Information Technology and Management Engineering Pub Date : 2008-11-20 DOI:10.1109/FITME.2008.131

Yi Wen-de, Huang Ai-hua

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引用次数: 0

摘要

copula已经成为建模财务数据依赖结构的强大工具，比传统的基于关联的方法更可取。本文讨论了联结函数在VaR和条件VaR估值中的应用。在金融投资组合风险研究中，提出了一些依赖风险的度量方法。研究了依赖风险测度与copula函数之间的关系，发现copula函数的选择会影响投资组合的依赖风险程度。

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Study on Measures of Dependence Conditional Risk Based-on Copulas in Financial Portfolio

Copulas have become a powerful tool for modeling the dependence structure of financial data and preferable to the traditional, correlation-based approach. This paper concerns the application of copula functions in VaR and conditional VaR valuation. Some measures of dependence risks are proposed in studying financial portfoliopsilas risk. We investigate the relations between the dependence risk measure and copula function, and find that the choice of copula will effect on the degree of dependence risk in portfolio.

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2008 International Seminar on Future Information Technology and Management Engineering

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