| 基于GARCH-EVT-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,庄亚明.基于GARCH-EVT-Copula的社保基金投资组合风险测度研究[J].金融理论与实践,2011(8). |
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| 作者姓名： | 江红莉 何建敏 庄亚明 |
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| 作者单位： | 东南大学经管学院,江苏南京,211189 |
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| 基金项目： | 国家自然科学基金项目(70671025/G0115) |
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| 摘 要： | 社保基金是社会保障事业健康发展的物质基础,安全性是其投资的首要原则。文章基于GARCH-EVT-Copula方法测度了社保基金投资组合的VaR。首先,基于GARCH、EVT对投资组合中各金融资产收益的边缘分布建模,然后,采用极大似然估计法和Bootstrap方法估计尾部的分布函数,接着,基于Copula方法研究组合中金融资产间的相关结构,最后,运用Monte Carlo方法测度投资组合的VaR。Kupiec检验表明,基于GARCH-EVT-Copula模型测度社保基金投资组合的风险是合适的。
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| 关 键 词： | GARCH 极值理论 Coupla 社保基金 投资组合 自助法 |
On the Risk Measure of the Social Security Fund Investment Portfolio based on GARCH-EVT-Copula |
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| Jiang Hong-li , others.On the Risk Measure of the Social Security Fund Investment Portfolio based on GARCH-EVT-Copula[J].Financial Theory and Practice,2011(8). |
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| Authors: | Jiang Hong-li others |
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| Institution: | Jiang Hong-li and others |
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| Abstract: | Social security fund is the material base for healthy development of social security business,which gets the security to be the first principle for investment.This paper measured VaR of portfolio in social security fund with the GARCH-EVT-Copula approach.Firstly,distribution modeling by using GARCH and EVT based on the brink of all financial assets in portfolio,then figured out the tails on the distribution functions by using Maximum Likehood Estimation(MLE) and Bootstrap,and then researching on relational ... |
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| Keywords: | Generalized Auto Regressive Conditional Heteroskedasticity(Generalized ARCH) Extreme Value Theory Copula Approach Social Security Fund Portfolio Bootstrap |
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