不同时变Copula-EVT-ES模型精度比较研究  

Comparative study on measurement precision of different time-varying Copula-EVT-ESmodels

作　　者：于文华[1,2] 魏宇[2] 康明惠 

机构地区：[1]成都理工大学商学院,成都610059 [2]西南交通大学经济管理学院,成都610031

出　　处：《管理科学学报》2015年第5期32-45,共14页Journal of Management Sciences in China

基　　金：国家自然科学基金资助项目(71071131;71371157);教育部人文社科基金资助项目(14YJC790073);高等学校博士学科点专项科研基金资助项目(20120184110020);四川省青年科技基金资助项目(15QNJJ0032);四川省软科学研究计划资助项目(2013ZR0068);四川省教育厅人文社科重点资助项目(14SA0039);成都理工大学中青年骨干教师培养计划资助项目(JXGG201420);成都理工大学金融与投资科研创新团队资助项目(KYTD201303)

摘　　要：结合EVT极值理论,构建了4类时变Copula模型,拟合了股指间的动态极值相依系数,并对各类资产组合进行了预期损失ES风险测度.通过Backtesting方法,对比研究了不同时变Copula-EVT-ES模型的风险测度精度.实证结果表明,在市场极端波动状况下,结合EVT极值理论的时变Copula-ES模型能够对资产组合尾部极值风险进行有效测度,并且对于空头头寸的风险测度效果优于其在多头头寸的表现.善于刻画变量间厚尾极值相依关系的时变t Copula-EVT-ES能够取得较好的组合风险测度效果,而对于二元资产组合,在高风险水平上,时变SJC Copula-EVT-ES模型也值得重点关注.In this paper, combined with extreme value theory （EVT）, four categories of time-varying Copula models were constructed, the dynamic extreme value contingency coefficients between stock indexes were fitted and risk measurement was conducted on each portfolio. By means of baektesting analysis method, a compara- tive study on the precision of the risk measurement of different time-varying Copula-EVT-ES models was made. The empirical results show that in the condition of extreme market volatility, the time-varying Copula-ES model combined with EVT can effectively measure the extreme value risk at the tails of portfolios, and the risk models can get more precise measurements for short positions than long positions. The time-varying t Copula-EVT-ES model which is conducive to depicting the dependency of the fat tail extreme values of variables has a better performance in portfolio risk measurement; in high risks, time-varying SJC Copula-EVT-ES model is also wor- thy of special attention, especially for dual portfolios.

关 键 词：时变COPULA 极值理论 预期损失 BACKTESTING 测度精度 

分 类 号：F830[经济管理—金融学] F224