Modeling dependence based on mixture copulas and its application in risk management  

作　　者：OUYANG Zi-sheng LIAO Hui YANG Xiang-qun 

机构地区：[1]School of Information, Hunan University of Commerce, Changsha 410205, China [2]School of Mathematics, Hunan Normal University, Changsha 410081, China

出　　处：《Applied Mathematics(A Journal of Chinese Universities)》2009年第4期393-401,共9页高校应用数学学报（英文版）（B辑）

基　　金：Supported by Research Projects of Humanities and Social Sciences Foundation of Ministry of Education

摘　　要：This paper is concerned with the statistical modeling of the dependence structure of multivariate financial data using the copula, and the application of copula functions in VaR valuation. After the introduction of the pure copula method and the maximum and minimum mixture copula method, authors present a new algorithm based on the more generalized mixture copula functions and the dependence measure, and apply the method to the portfolio of Shanghai stock composite index and Shenzhen stock component index. Comparing with the results from various methods, one can find that the mixture copula method is better than the pure Gaussian copula method and the maximum and minimum mixture copula method on different VaR level.This paper is concerned with the statistical modeling of the dependence structure of multivariate financial data using the copula, and the application of copula functions in VaR valuation. After the introduction of the pure copula method and the maximum and minimum mixture copula method, authors present a new algorithm based on the more generalized mixture copula functions and the dependence measure, and apply the method to the portfolio of Shanghai stock composite index and Shenzhen stock component index. Comparing with the results from various methods, one can find that the mixture copula method is better than the pure Gaussian copula method and the maximum and minimum mixture copula method on different VaR level.

关 键 词：Gaussian mixture copula VALUE-AT-RISK DEPENDENCE back-test Spearman＇s rho 

分 类 号：F832.33[经济管理—金融学] TQ028[化学工程]