基于动态VaR模型和Copula函数的省级政府平台公司投资风险测度  

Research on the Investment Risk Measurement of the Provincial Government Financing Platform Based on the Dynamic VaR Model and Copula Function

作　　者：胡亚明[1] 

机构地区：[1]中南大学商学院,湖南长沙410083

出　　处：《财经理论与实践》2014年第3期55-59,共5页The Theory and Practice of Finance and Economics

基　　金：国家自然科学基金项目(70873136);国家社会科学基金重点项目(08AJY040)

摘　　要：省级政府投融资平台公司在城镇化建设中发挥着重要作用,其投融资风险问题亦逐渐引起重视。基于平台公司的投资收益会随着市场等宏观环境的变化而波动的考虑,将平台公司的项目投资资产视为金融资产而度量其风险状况。考虑单笔投资的情形,建立极值理论和SV-t模型的相结合平台公司一维融资风险动态VaR模型;进而考虑多笔投资间的非线性关系,结合Copula函数和蒙特卡洛模拟思路,建立平台公司多维融资风险度量模型。所构建的模型避免了传统研究的强主观性,并实现了投资风险的实时、动态度量。The Provincial Government financing platform plays an important role in the process of urbanization, and its financing risk is getting more attention, Considering that the project investment return changes with the market condition and other macro factors, this paper took project investments as typical financial assets to measure their risks. For single investments, we built a dynamic VaR model combing SV-t model with the extreme value theory. Considering the nonlinear relationship between multiple financing projects, we built a new model combing Copula function with Monte Carlo simulation. The models we built in our paper can avoid the subjectivity existed in traditional models,and can measure the investment risk dynamically.

关 键 词：省级政府投融资平台 投资风险 动态VAR COPULA函数 

分 类 号：F830.59[经济管理—金融学]