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1、分類號(hào)：O212密級(jí)：公開UDC：519.2學(xué)校代碼：11065碩士學(xué)位論文基于Copula的投資組合風(fēng)險(xiǎn)分析王大鵬指導(dǎo)教師李新民學(xué)科專業(yè)名稱概率論與數(shù)理統(tǒng)計(jì)論文答辯日期2016年5月29日摘要近年來,Copula函數(shù)及VaR、CVaR等方法在投資組合風(fēng)險(xiǎn)度量中得到了廣泛應(yīng)用.本文的研究主題是投資組合與風(fēng)險(xiǎn)分析,首先介紹了Copula理論以及pairCopula與藤分解結(jié)構(gòu),接著介紹了投資組合模型和VaR風(fēng)險(xiǎn)理論,最后進(jìn)行了實(shí)證分析.利用Copula-GARCH-偏t模型擬合資產(chǎn)間的相關(guān)結(jié)構(gòu),投資組合的建模是通過Copul
2、a-GARCH-偏t模型與均值-方差模型和均值-CVaR模型結(jié)合,求得最小風(fēng)險(xiǎn)下的投資組合權(quán)重.對(duì)于組合風(fēng)險(xiǎn)采用Copula-GARCH-偏t-VaR模型來度量投資組合的風(fēng)險(xiǎn)價(jià)值VaR.在實(shí)證分析中,邊際分布采用了核密度估計(jì)和GARCH模型,通過AIC準(zhǔn)則比較了四種單一Copula和三種藤分解結(jié)構(gòu)下的pairCopula對(duì)多元聯(lián)合分布的擬合效果,得到R藤分解的Copula在描述資產(chǎn)間相依結(jié)構(gòu)時(shí)更加準(zhǔn)確的結(jié)論.在與投資組合模型和VaR的結(jié)合中,求得投資組合模型的最優(yōu)投資方案,對(duì)估計(jì)的VaR做了回測(cè)檢驗(yàn),比較了R藤分解的Cop
3、ula在兩種投資組合模型下VaR的精度.關(guān)鍵詞:pair-Copula;GARCH;VaR;收益風(fēng)險(xiǎn)抵換率AbstractInrecentyears,CopulaconnectfunctionandtheVaRandCVaRmethodhasbeenwidelyusedinportfolioriskmeasurement.Topicsofthisarticleareportfolioandriskanalysis.Firstly,WeintroducedtheCopula,pairCopulaandvine.Thenwei
4、ntroducedtheportfoliomodelsandVaRtheory.Finally,wegaveanempiricalanalysis.UsingCopula-GARCH-partialtmodel,wefittedthedependencystructurebetweentheassets.TheportfolioweightundertheminimumriskiscalculatedthroughthecombinationbetweentheCopula-GARCH-partialtmodelandth
5、emean-variancemodel,themean-CVaRmodel.Theportfoliorisk,VaR,iscalculatedthroughtheCopula-GARCH-partialt-VaRmodel.Intheempiricalanalysis,themarginaldistributionsisfittedbythekerneldensityestimationandGARCHmodels.UndertheAICcriterion,wecomparedtheAICoffoursingleCopul
6、amodelsandthreevineCopulamodels.TheresultofRvineCopulaismoreaccurateinthedescriptionofthedependencystructurebetweentheassets.IncombinationwiththeVaRandportfoliomodels,weobtainedtheoptimalinvestmentweight,theresultsofthebacktestfortheestimatedVaR.Afterthat,wecompar
7、edtheVaRwhichtheweightisfromthetwokindsofportfoliomodels.Keywords:pair-Copula;GARCH;VaR;RRTR目錄引言.......................................................................................................................................1第一章Copula函數(shù)理論...................
8、..............................................................................51.1Copula函數(shù)簡(jiǎn)介............................................................
