包含股指期货的投资组合之风险研究——Copula方法在金融风险管理中的应用  

Research of the Risk of the Portifolio Cluding Index Future——the Application of Copula Method to the Financial Risk Management

作　　者：何其祥[1] 张晗[2] 郑明[2] 

机构地区：[1]上海财经大学应用数学系,上海200433 [2]复旦大学管理学院,上海200433

出　　处：《数理统计与管理》2009年第1期159-166,共8页Journal of Applied Statistics and Management

摘　　要：本文运用Copula方法研究了含股指期货的投资组合的风险度量问题.由于股指期货和股票现货之间存在很大的相关性,因此在度量组合的风险时,各资产间的相关结构起到了关键作用,但这一相关结构很难用线性的相关系数去刻画,本文采用Copula模型来描述相关结构。而后,我们构建了基于Copula理论的风险度量指标PVaR,并验证了不同Copula模型的拟合效果.我们利用沪深300指数的数据来研究股指期货和现货的相关结构,并使用了多种Copula函数结合不同的边际分布假设进行了模拟,说明了Copula方法在风险度量尤其是包含了股指期货的投资组合的风险度量上具有较高的精确性.This paper measures the risk of the portfolio which includes index futures by using the Copula method. In this problem, the dependence structure plays an important role because of the strong relationship between index futures and stocks. This dependence structure can not be expressed by the correlation coefficient perfectly, so we use the Copula method to construct the PVaR to measure the risk and compare the performance of each Copula models. In simulation, we use the data of HuShen 300 index to estimate the dependence structure, and we compare several Copula models and asset distribution assumptions. We find that the Copula method has good efficiencies in measuring the risk of portfolio

关 键 词：股指期货 投资组合 PVAR COPULA 

分 类 号：F222.3[经济管理—国民经济]