基于Copula-VaR的金融资产组合风险测度研究 |
点此下载全文 |
引用本文:鲁志军,姚德权.基于Copula-VaR的金融资产组合风险测度研究[J].财经理论与实践,2012,(6):48-52 |
摘要点击次数: 1534 |
全文下载次数: 58 |
|
|
中文摘要:引入Copula函数来改进传统的VaR方法,构建出Copula-VaR模型。通过蒙特卡罗模拟实证金融资产组合收益的各种VaR值,结果表明,Copula-VaR模型能够更精确地测度出金融资产组合的在险价值风险。 |
中文关键词:VaR方法 Copula函数 Copula-VaR模型 |
|
Measurement on the Financial Assets Portfolio Risk based on the Copula-VaR Model |
|
|
Abstract:Based on Copula Function, the VaR method has been improved and the new Copula-VaR mode has been built. Through the empirical research on the financial assets portfolio, the paper gets VaR results, and the empirical results suggest that the Copula-VaR model can measure the value at risk of the financial assets portfolio more exactly. |
keywords:VaR method Copula function Copula-VaR Model |
查看全文 查看/发表评论 下载pdf阅读器 |