基于pair copula-LMSV-t模型的投资组合风险研究

doi:10.3969/j.issn.0253-2778.2015.12.010

中国科学技术大学学报 ›› 2015, Vol. 45 ›› Issue (12): 1024-1029.DOI: 10.3969/j.issn.0253-2778.2015.12.010

• 研究论文:管理科学与工程 • 上一篇下一篇

基于pair copula-LMSV-t模型的投资组合风险研究

张勔，程希骏，方正，郭键鸿，刘峰

中国科学技术大学统计与金融系，安徽合肥 230026

收稿日期:2014-10-11 修回日期:2015-06-23 接受日期:2015-06-23 出版日期:2023-03-27 发布日期:2015-06-23
通讯作者: 程希骏
作者简介:张勔，男，1992年生，硕士. 研究方向：投资组合. E-mail： mianzy@mail.ustc.edu.cn
基金资助:
国家自然科学基金（11371340）资助.

Analysis of portfolio VaR by pair copula-LMSV-t

ZHANG Mian, CHENG Xijun, FANG Zheng, GUO Jianhong, LIU Feng

Dept. of Statistics and Finance, University of Science and Technology of China, Hefei 230026, China

Received:2014-10-11 Revised:2015-06-23 Accepted:2015-06-23 Online:2023-03-27 Published:2015-06-23

摘要/Abstract

摘要： 提出了LMSV-t模型并以其作为边缘分布的估计，来构建pair copula-LMSV-t多元投资组合模型.采用LMSV-t模型估计边缘分布能够更好地刻画资产收益率的波动性和长记忆性等非线性特征，从而更精确地估计投资组合的VaR.同时通过对中国股市开放式基金的实证分析，证明该投资组合模型在描述单个资产的非线性特征和资产之间的相依性方面都有进步.

关键词: LMSV-t, pair copula, VaR, 马尔可夫链蒙特卡罗

Abstract: The LMSV-t model was adopted to estimate the marginal distribution, instead of the GARCH model, which has been adopted before, and the pair copula-LMSV-t model was constructed. Furthermore, the method for parameter estimation of LMSV-t by MCMC was offered. An empirical example with the open-end fund's data demonstrates the superiority of the LMSV-t model in describing the volatility and long memory of asset's return. Using the LMSV-t model as the description of the marginal distribution, the pair copula-LMSV-t model has better performance in the analysis of portfolio VaR.

Key words: LMSV-t, pair copula, VaR, MCMC

中图分类号:

F830.91
O212

张勔, 程希骏, 方正, 郭键鸿, 刘峰. 基于pair copula-LMSV-t模型的投资组合风险研究[J]. 中国科学技术大学学报, 2015, 45(12): 1024-1029.

ZHANG Mian, CHENG Xijun, FANG Zheng, GUO Jianhong, LIU Feng. Analysis of portfolio VaR by pair copula-LMSV-t[J]. Journal of University of Science and Technology of China, 2015, 45(12): 1024-1029.

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基于pair copula-LMSV-t模型的投资组合风险研究

Analysis of portfolio VaR by pair copula-LMSV-t

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