The Risk Measurement Research of the Portfolio Based on Pair-copula
In this paper, we apply the pair copula approach and normal inverse Gaussian (NIG) distribution to respectively capture the nonlinear dependence structure and fat tails of the portfolio.After construct the joint distribution of the portfolio, we use the Monte Carlo method to calculate the financial asset portfolio value at risk (VaR).The empirical results show that compared with traditional risk measurement methods of the portfolio, the method in this paper can be effectively used to forecast VaR of the portfolio and more accurately capture the risk portfolio.
VaR pair copula normal inverse Gaussian
Zhang Gaoxun Tian Yixiang Li Chenggang Zhang Honglei
School of Economics and Management, University of Electronic Science and Technology of China, Chengd Faculty of Finance, Guizhou University of Finance and Economics, Guiyang, P.R.China, 550025
国际会议
2013 International Conference on Strategic Management(2013年战略管理国际会议)
成都
英文
554-557
2013-12-15（万方平台首次上网日期，不代表论文的发表时间）