The Application of Copula in the Analysis Calculation with respect to Dependent Portfolio VaR

摘要：

Utilizing the properties of Copula, the paper presents the methods and the procedure for the estimation of the portfolio VaR relating to dependence. In order to implement the computations for multivariate portfolio VaR by means of short-cut and practical methods, trying to disintegrate the dependent structure of multidimensional investment into the bivariate Copulas. Meanwhile, provides the criterions for model selection, the method to parameter estimation and the calculation model for threedimensional Kendall τ. 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.

关键词： Copula VaR calculation portfolio dependence Gumbel-Copula Monte Carlo simulation

作者: Tang Jiayin He Ping Wang Jianpeng Wang Lu

作者单位: The mathematics department, Southwest Jiaotong University, Chengdu, 610031,P.R.China School of Statistics, Southwest University of Finance and economics, Chengdu 610074, China

会议类型: 国际会议

会议名称: 2008年国际应用统计学术研讨会(2008 International Institute of Applied Statistics Studies)

会议地点: 烟台

会议语种:英文

页码: 1-6

在线出版日期: 2008-08-14（万方平台首次上网日期，不代表论文的发表时间）