两类混合藤Copula模型的比较研究——基于外汇资产投资组合VaR的研究

本文以中国外汇市场上四种主要外汇资产的投资组合作为研究对象,基于Pair Copula高维建模思想,分别建立了两类能真实反映资产组合相关结构差异性的混合藤Copula模型,即混合C藤和混合D藤Copula模型。两类混合藤Copula模型,对传统的藤Copula模型作了进一步的改进,是通过一定的选择标准,确定模型中每个Pair Copula函数的最优函数族,这样可以使得所建立的模型既能考虑资产组合维数的影响,又能捕捉到组合内部各资产相关结构的差异性。为了得到较优的风险分析模型,在实证研究中,将两类模型在资产组合VaR计算精度方面进行比较。

The Comparison Study of Two Types of Mixed Vines Copula Model --Based on the Analysis of VaR of a Portfolio

Two types of mixed vines copula model based on Pair Copula Constructions method was used to study a portfolio of four foreign exchange assets in Foreign Exchange Market of China. The models, namely mixed C and D vines Copula model, ean reflect the differences of correlation structure of a portfolio realistically. And also the two types of mixed vines Copula models improve on traditional C and D vines method and choose the best families of copula functions for every Pair Copula by a rule. They not only can take into account of the impact of dimensions, but also can capture the difference of the correlation structure among portfolio factors. In order to obtain a better VaR analysis model, we compare the two types of vines Copula models in the aspect of the portfolio VaR calculation accuracy in empirical study.