湖南大学学报（自然科学版）2012，Vol.39Issue(12)：94-99,6.
基于时变多元Copula-VaR的商业银行汇率风险度量
Exchange Rate Risk Measurement of Commercial Bank by Time-varying Multiple Copula-VaR
摘要
Abstract
A time-varying multiple Copula model was constructed, and the Monte Carlo simulation technology was used to calculate VaR (Value at Risk) in order to accurately measure the risk resulting from the four exchange rates: CNY/USD, CNY/EUR, CNY/JPY and CNY/HKD of commercial Banks. Then, a comparative analysis was made on the measurement effect between the static multiple Copula-VaR and the time-varying multiple Copula-VaR. The results show that the connections between these exchange rates are indeed time-varying related, and the measurement effect of the time-varying multiple Copula-VaR is much better.关键词
商业银行/汇率风险度量/时变多元Copula模型/VaR(Value at Risk)Key words
commercial bank/exchange rate risk measurement/time-varying multiple Copula/VaR (value at risk)分类
管理科学引用本文复制引用
谢赤,周亮球,岳汉奇,王纲金..基于时变多元Copula-VaR的商业银行汇率风险度量[J].湖南大学学报（自然科学版）,2012,39(12):94-99,6.基金项目
国家社会科学基金重点资助项目(07AJL005) （07AJL005）
国家软科学研究计划项目(2010GXS5B141) （2010GXS5B141）
教育部创新群体项目(IRT0916) （IRT0916）
教育部人文社会科学规划项目(09YJC630063) （09YJC630063）
湖南省自然科学基金创新群体项目(09JJ7002) （09JJ7002）
