A New Quantitative Estimation Method with Dependent Portfolio VaR Based on Properties of Copula
Utilizing the properties of Copula, the paper presents a quantitative Monte Carlo simulation method to estimate the VaR of dependent portfolio. In order to implement the effective calculations for multivariate portfolio VaR by means of an easy and practical method, tries to disintegrate the dependent structure of multidimensional investment into the bivariate Copulas. Meanwhile, provides the criterions for Copula selection, the method to parameter estimation and the calculation model for three dimensional Kendall. Finally, the empirical results are got from the aerial stocks within shanghai (Hu) stock markets; explain this method for dependent multivariate portfolio VaR is feasible and effective.
Copula VaR Calculation Portfolio Dependence Gumbel-Copula Monte Carlo Simulation
TANG Jiayin WANG Jianpeng
The mathematics department, Southwest Jiaotong University, Chengdu, P.R.China, 610031
国际会议
2008年国际应用统计学术研讨会(2008 International Institute of Applied Statistics Studies)
烟台
英文
1-5
2008-08-14（万方平台首次上网日期，不代表论文的发表时间）