Empirical Research of Two-factor Vasicek Model Based on Copulas
It analyzes the nonlinear term structure of interest rates of Treasury in Shanghai Stock Exchange, using twofactor Vasicek model and Kalman filter in the statespace framework. The observation errors of oneyear and 20year interest rates are extracted and estimated applying the Archimedean copulas and mixture copula by maximum likelihood estimation. It has shown that the Gumbel copula and mixture copula could be more proper to capture their dependence structure. It is also found that Gumbel copula is superior over Gaussian copula, Frank copula, Clayton copula and mixture copula to test the VaR of Treasury portfolio by Monte Carlo simulation, for the latter four categories of copulas would underestimate the risks of portfolio.
copulas termstructure vasicekmodel statespacemodel
Hengyu Wu Peng Chen Wu Yan Genhua Hu
School of Business AdministrationSouth China University of Technology,Guangzhou, PR China School of FinanceJiangxi University of Finance & Economics,Nanchang, PR China School of Economics Guangdong University of Business Studies Guangzhou, China
国际会议
广州
英文
1-4
2011-05-13（万方平台首次上网日期，不代表论文的发表时间）