南昌工程学院学报2011，Vol.30Issue(3)：53-58,6.
Copula相关理论在金融分析中的风险度量
Financial risk measurement based on Copula theories
孙文 1孙秋碧1
作者信息
- 1. 福州大学管理学院统计系,福建福州350108
- 折叠
摘要
Abstract
Financial risk management draws more and more attention with the global economic integration.The current studies show that the portfolio diversification can reduce risk to some extent.Most traditional risk measurement models are based on normal distribution,which is always inconsistent with the facts,especially when some extreme events occur.Therefore,the asymmetric GARCH-GJR model is introduced.Using the copula function,GARCH models and the extreme theory,this paper establishes the copula-GJR（1,1）-EVT model to measure the risk of the portfolio of 10 Shenzhen stock index under the equal weight,and compares the results of the single-stock index and the portfolio with the results of the portfolio based on the Gaussian Copula and t-Copula function.关键词
Copula函数/GJR模型/极值理论/VaRKey words
Copula function/GJR model/extreme theory/VaR分类
数理科学引用本文复制引用
孙文,孙秋碧..Copula相关理论在金融分析中的风险度量[J].南昌工程学院学报,2011,30(3):53-58,6.
