基于Copula理论的商业银行的市场风险研究  

Market Risk Analysis for Commercial Banks Based on Copula Theory

作　　者：杨湘豫[1] 赵婷[1] 卢静[1] 

机构地区：[1]湖南大学数学与计量经济学院,湖南长沙410082

出　　处：《财经理论与实践》2010年第5期34-37,共4页The Theory and Practice of Finance and Economics

基　　金：国家社科基金(08BJY159);湖南省自科基金(09JJ5004)

摘　　要：在投资者看好银行股的背景下,结合t-EGARCH模型和极值理论,利用Copula方法对14家上市银行股票进行分析,并通过蒙特卡洛模拟计算单只股票以及投资组合的VaR。结果表明,此方法能很好地量化风险,有助于衡量市场风险。Taking that investors have great preferences on bank shares into consideration,this paper analyzes the market risks of 14 bank shares with the Copula Theory,t-EGARCH model and Extreme value theory.Monte Carlo simulation is applied to calculate the VaR of each asset and the investment portfolio.The results show that this method can quantify the risks and measure the market risks.

关 键 词：商业银行 t-EGARCH 极值理论 COPULA函数 MONTECARLO模拟 VaR 

分 类 号：F830.91[经济管理—金融学]