Social Security Fund Portfolio Risk Measurement Based on Dynamic Diagonal BEKK-MGARCH
Taking into account the current social security fund primarily invested to stocks and bonds, we construct the portfolio based on Shanghai & Shenzhen 300 index and bond index on behalf of pension fund investment portfolio, compute the risk of portfolio based on dynamic diagonal BEKK-MGARCH, carry out Kupiec test, compare the result with CCC-MGARCH model. The result shows that dynamic diagonal BEKK-MGARCH is better than CCC-MGARCH model in the aspect of measuring the risk of social security fund portfolio. The result also shows that, if invest one hundred units,the daily VaR and ES are 2.4056 and 4.1163.
Li Chaojie Jiang Hongli
Business School, Hohai University，Nanjing，China, 210009 Bank of Communications, Nanjing，China 210009 School of Economics & Management, Southeast University Nan Jing, China , 211189
国际会议
International Conference on Management and Service Science(2011年第五届管理与服务科学国际会议 MASS 2011)
武汉
英文
1-4
2011-08-12（万方平台首次上网日期，不代表论文的发表时间）