基于R-藤结构的pair-copula模型在交叉保证金设置上的应用研究  

Building High Dimension Structure of Pair-Copula Model by R-Vine in the Application of Setting Cross Margin

作　　者：符永健[1] 程希骏[1] 李宁[1] 

机构地区：[1]中国科学技术大学管理学院,安徽合肥230026

出　　处：《数学的实践与认识》2015年第18期1-7,共7页Mathematics in Practice and Theory

基　　金：国家自然科学基金(11371340)

摘　　要：在实行交叉保证金制度的基础上,提出了R-藤结构下的pair-copula方法来解决多期货品种组合的保证金设置问题.R-藤结构变化灵活,为解决高维度联合分布的估计提供了一种新思路.实证结果表明,R-藤结构下的高维pa江copula模型能够满足实际风险覆盖要求,同时通过品种组合之间盈亏部分的对冲来降低客户结算账户的保证金需求,这将有助于提高市场交易的活跃性.Under the implementation of the cross margin system,we put forward to build high dimension structure of pair-copula method by R-vine to set the futures portfolio margin level.The structure of R-vine is changed flexibly and provides a new way of thinking about estimating of the joint distribution.The empirical results show that the model we build not only can meet requirement of market risk covered,but also reduce the demand of customer＇s settlement account capital through the loss hedging of futures portfoUo,which helps to improve market trading activity.

关 键 词：多期货品种组合 R-藤结构 交叉保证金 

分 类 号：F724.5[经济管理—产业经济] F224