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基于pair—copula的社保基金投资组合风险测度研究
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].南京经济学院学报,2011(3):43-50.
作者姓名:江红莉  何建敏
作者单位:东南大学经济与管理学院,江苏南京211189
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).
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。

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
Jiang HongLi,He JianMin.The Research on Risk Measurement of Social Insurance Fund Portfolio Based on Pair-Copula[J].Journal of Nanjing University of Economics,2011(3):43-50.
Authors:Jiang HongLi  He JianMin
Institution:( School of Economics & Management, Southeast University, Nanjing 211189, China)
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-eopula-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-GARCI-I-EVT can consider the influence of dimensions, and can select the type of copula flexibly. The empirical research shows that the pair-copula-GARCH-EVT is more accurate than copula-GARCH-EVT model in the aspect of measuring the risk of social insurance fund portfolio.
Keywords:social insurance fund  pair-copula  muhivariable copula  GARCH  EVT
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