基于Copula-VaR的金融资产组合风险测度研究
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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
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作者单位
鲁志军,姚德权 (湖南大学 工商管理学院湖南 长沙410082) 
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
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