| 基于Copula-GARCH-EVT的中国开放式基金投资组合风险度量 |
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| 引用本文： | 杨湘豫,崔迎媛. 基于Copula-GARCH-EVT的中国开放式基金投资组合风险度量[J]. 财经理论与实践, 2009, 30(5) |
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| 作者姓名： | 杨湘豫 崔迎媛 |
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| 作者单位： | 湖南大学,数学与计量经济学院,湖南,长沙,410082;湖南大学,数学与计量经济学院,湖南,长沙,410082 |
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| 摘 要： | 文章结合CARCH模型和EVT理论刻画了单个金融资产收益率的波动性和尾部分布,并将Copula函数和Monte Carlo技术应用于证券投资组合的VaR计算方法.通过对光大红利基金的实证研究,得到前十大重仓中单只股票及其投资组合的风险值,结果表明,基于Copula-GARCH-EVT的VaR方法具有重要的经济应用价值.
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| 关 键 词： | 开放式基金 Copula函数 CARCH-EVT Monte Carlo模拟 VaR |
Risk Measurement of Open-end Funds Portfolio of China Based on Copula-GARCH-EVT Model |
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| YANG Xiang-yu,CUI Ying-yuan. Risk Measurement of Open-end Funds Portfolio of China Based on Copula-GARCH-EVT Model[J]. The Theory and Practice of Finance and Economics, 2009, 30(5) |
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| Authors: | YANG Xiang-yu CUI Ying-yuan |
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| Affiliation: | YANG Xiang-yu,CUI Ying-yuan (College of Mathematics , Econometrics,Hunan University,Changsha,Hunan 410082,China) |
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| Abstract: | By combining GARCH model with EVT(Extreme Value Theory),we precisely depicted the volatility and tail distribution of each financial asset returns,then applied Copula function and Monte Carlo simulation to the method of calculating portfolio VaR.Empirically analyzing the top ten shares of Ever-bright Bonus Fund,we compute the VaR of each asset and the investment portfolio.Results show that this VaR method based on Copula-GARCH-EVT has great economic value in application. |
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| Keywords: | CARCH-EVT VaR |
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