基于R-vine copula的原油市场极端风险动态测度研究  

Dynamic Measurement of Extreme Risk among Various Crude Oil Markets Based on R-vine copula

作　　者：杨坤[1] 于文华[1] 魏宇 

机构地区：[1]成都理工大学商学院,四川成都610059 [2]云南财经大学金融学院,云南昆明650221 [3]西南交通大学经济管理学院,四川成都610031

出　　处：《中国管理科学》2017年第8期19-29,共11页Chinese Journal of Management Science

基　　金：国家自然科学基金资助项目(71371157;71671145);教育部人文社科基金规划项目(15YJA790031;16YJA790062;17YJA790015;17XJA790002);中央高校基本科研业务费专项资金资助项目(26816WCX02);四川省科技青年基金项目(2015JQO010);四川省教育厅人文社科重点项目(14SA0039);成都理工大学中青年骨干教师培养计划资助项目(JXGG201420);国家级大学生创新创业训练计划项目(201610616035)

摘　　要：近年来,原油价格的暴涨暴跌给实体经济的稳定发展带来了众多的不确定因素,因此对原油市场的极端波动风险进行准确刻画和预测具有重要的理论和现实意义。结合EVT极值理论,构建五类R-vine copula模型,刻画了六大原油市场间的极值风险相依关系,在此基础上,分别构建资产组合的在险价值(VaR)与预期损失(ES)模型,进行样本外极端风险的滚动测度,并通过backtesting方法,对比了各类模型测度精度的差异状况。研究结果表明:结合EVT极值理论的Mixed R-vine copula模型能够有效地描述原油市场间的尾部极值风险相依关系,取得了更好的风险测度效果;VaR模型能够较好地测度较低风险水平上的组合风险价值,但在高风险水平上的测度效果却有所不足,而ES模型则在高风险水平上表现出了更为优异的组合风险测度能力。In recent years,the strong fluctuations in crude oil prices bring many uncertain factors to the stable development of real economy,so there is an important theoretical and practical significance in accurately characterizing and predicting the extreme volatility riskamong various crude oil markets.In this paper,combining extreme value theory(EVT)with fivecategories of R-vine copula models,the extreme dependence relationship between six crude oil markets is depicted.Based on that the value at risk(VaR)and expected shortfall(ES)models are constructed to measure the out-of-sample extreme risk using a sliding time window method.Finally,a backtesting for unconditional coverage and backtesting based on bootstrap are,and carried out the VaR and ES measurement accuracy of different models is compared.The empirical results are summarized as follows:(1)Mixed R-vine-EVT model can describe the extreme dependence relationshipamong various crude oil marketsmore excellent and show a better risk measures efficiency.(2)VaR model can well depict the riskstatusat low risk levels,while the measure precision at high risk levels is insufficient.On the contrary,ES model shows a better risk measurement capability at the high risk levels.Accordingly,some practical suggestions are put forward e.g.,investors should introduceextreme value theory to describe the extreme risk situation of crude oil markets;under the background of sharp fluctuations in international crude oil prices,Mixed R-vine model can more adapt to the changes of dependency relationship among various crude oil markets.

关 键 词：原油市场 R-vine COPULA 极值理论 在险价值(VaR) 预期损失(ES) BACKTESTING 

分 类 号：F416.22[经济管理—产业经济]