基于Copula函数的金融理财产品风险度量  

Risk measuring of financial products on a Copula function

作　　者：李鹏举[1] 朱辉[1] 

机构地区：[1]苏州工业园区服务外包职业学院,苏州215123

出　　处：《系统工程理论与实践》2014年第3期663-667,共5页Systems Engineering-Theory & Practice

基　　金：苏州工业园区服务外包职业学院科研项目(KY-XJY110)

摘　　要：根据Copula函数在构建反映随机变量实际分布与相关性的联合分布函数上具有的优势,构建了反映金融理财产品收益实际分布和相关性的联合分布函数.为了研究度量收益率的实际分布和相关性对金融理财产品组合选择的影响,采用蒙特卡罗方法对金融危机前期(稳定期)和金融危机时期(危机期)的投资组合进行了风险分析.The actual distribution and the dependence of financial asset returns are analyzed based on the character of Copula in this paper, a multivariate distribution function which can reflect the actual distribution and the dependence of financial asset returns is developed. An empirical research is done on the performance of the portfolio selection by Monte Carlo method before and after financial crisis in order to research the effect of measuring the actual distribution and dependence on portfolio selection of financial products.

关 键 词：COPULA函数 金融理财产品 风险度量 蒙特卡罗方法 

分 类 号：F830.9[经济管理—金融学]