| 基于pair-copula的社保基金投资组合风险测度研究 |
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| 引用本文： | 江红莉,何建敏.基于pair-copula的社保基金投资组合风险测度研究[J].南京财经大学学报,2011(3). |
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| 作者姓名： | 江红莉 何建敏 |
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| 作者单位： | 东南大学经济与管理学院; |
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| 基金项目： | 国家自然科学基金项目:基于复杂网络的银行间传染风险及其演化模型研究(71071034) |
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| 摘 要： | 社保基金是社会保障事业健康发展的基石,风险管理是社保基金保值增值的关键问题之一。提出了pair-copula-GARCH-EVT模型以测度社保基金投资组合风险,与传统的n维copula-GARCH-EVT模型相比,该模型不仅考虑了维数的影响,而且还能灵活地选择copula的类型。实证研究发现,基于pair-copula-GARCH-EVT的模型测度社保基金投资组合风险的准确性要高于传统的copula-GARCH-EVT模型。
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| 关 键 词： | 社保基金 pair-copula 多元copula GARCH EVT |
The Research on Risk Measurement of Social Insurance Fund Portfolio Based on Pair-Copula |
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| Jiang HongLi,He JianMin.The Research on Risk Measurement of Social Insurance Fund Portfolio Based on Pair-Copula[J].Journal of Nanjing University of Finance and Economics,2011(3). |
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| Authors: | Jiang HongLi He JianMin |
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| Institution: | Jiang HongLi,He JianMin(School of Economics & Management,Southeast University,Nanjing 211189,China) |
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| Abstract: | Social insurance fund is the base of social insurance business's development.Risk management is one of keys to the value preservation and increment of social insurance fund.The model of pair-copula-GARCH-EVT is put forward in order to measure the risk of social insurance fund portfolio in this paper.Compared with traditional multivariable copula-GARCH-EVT model,the model of pair-copula-GARCH-EVT can consider the influence of dimensions,and can select the type of copula flexibly.The empirical research shows ... |
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| Keywords: | social insurance fund pair-copula multivariable copula GARCH EVT |
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