Analysis of Portfolio VaR using a Copula-GARCH Model

摘要：

　　The present study aims to analyze the minimal value at risk (VaR) of the allocation of portfolio under certain confidence levels using multivariate Copula-GARCH model.Based on the Copula functions and Monte Carlo simulation techniques,multivariate normal Copula-GARCH model with various marginal distributions is applied to conduct a case study on the investment portfolio of different industry indices chosen from Shenzhen exchange.The results indicate that the proposed model can effectively measure risks of asset allocation,which helps a lot in the decentralization and supervision of the overall risks for investors and could partly reduce the risk.

关键词： multivariate Copula-GARCH model VaR of investment portfolio Monte Carlo simulation

作者: WANG Fei SONG Jiali MA Mingwei

作者单位: School of Business Hohai University Nanjing 211100,China College of Hydrology and Water Resources Hohai University Nanjing 210098,China

会议类型: 国际会议

会议名称: 2012 IEEE 5th International Conference on Management Engineering & Technology of Statistics (第五届(2012)管理工程与统计技术国际学术研讨会(ICMETS2012))

会议地点: 青岛

会议语种:英文

页码: 22-26

在线出版日期: 2012-07-20（万方平台首次上网日期，不代表论文的发表时间）