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ID:49822689
大小:4.77 MB
页数:56页
时间:2020-03-04
《基于Vine-Copula-POT模型的资产组合风险测度.pdf》由会员上传分享,免费在线阅读,更多相关内容在学术论文-天天文库。
1、RISKMEASUREOFASSETPORTFOLIOBASEDONINE-COPULA-POTDLEVMOABSTRACTWiththerocessoffinanciallobalizationbecomindeeerthepggp,connectionsandthecomovementoflobalfinancialmarketsisbecominggmorestrengthened.Inrecentears,the
2、freuenciesoffinancialcrisisandyqtheaffectingareasareincreasing.Alloftheseareremindingpeopletostrenthenriskmanaement.The归rststeofriskmanaementisggpgdeutin化ecorrelationbetweenassets.Alsoweshouldtakethepgdevasta
3、tingefectsofextremerisktofinancialmarketsintoconsideration.ThetraditionalmethodsassumethatassetortfoliofollowmultivariatepGaussiandistributionsanduselinearcorrelationcoefficienttodescribeh’tecorrelationbetweenassetpo
4、rtfolio.Butitdoesntmatchthefactwhichthefinancialassetsrepresentnonlinear,asymmetricandtaildeendence.pBasedontheshortcominsof化aditionalmethodsweusetheg,-CoVineulafunctiontodeictthecorrelationbetweentheassetpppor
5、tfolios.Copulaisfunctionthatoinsorcoulemultivariatedistributionjpfunct-ionstotheironedimensionalmarinaldistributionfunctions.ItnotgIIIonlcancharacterizecorrelationsalsobeabletodescribethedependenceystructure.Soiti
6、ssuitable化measurethecorrelationbetweenassetportfolios.AlthoughmultivariateCopulafunctionscandescribethecorrelationwellbutthemostusedmultivariateCoulafunctionsare,passumedthemarinal出stributionisnormal出stributionort
7、distribution.g-uIthassomelimitationssointhisaerwewilluseVineCola,pppfUnctio打stodepictthecorrelationand化edependencestructurebetweentheassetportfolios.AndwewillusePOT(PeaksoverThreshold)model化describethemarginal
8、出stribution.Thispaperdonethefollowingworkswhichfocusesonthefinancialassetortfolioriskmeasurement:pFirstlweintroduce化emarinaldistributionmodelPOTeaksy,g(PoverThresholdmodel.Thenweuseittoemiricalanalzewhere
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