统计与决策2024，Vol.40Issue(10)：58-62,5.DOI:10.13546/j.cnki.tjyjc.2024.10.010
Copula模型的改进及其应用
Improvement and Application of Copula Model
摘要
Abstract
Copula models can be used to accurately calculate the tail risk of investment portfolios and compensate for the shortcomings of Person correlation coefficient.Based on the credit risk Copula model,this paper discusses the application of dif-ferent sampling algorithms in credit portfolios,optimizes importance sampling and cross-entropy algorithms,tests the risk calcula-tion algorithms of Gaussian and t-Copula models,and verifies them through numerical simulation.The results are shown as fol-lows:The precision and efficiency of naive Monte Carlo simulation are low.The importance sampling algorithm significantly reduc-es the calculation variance and improves accuracy through analytical approximation,but the solution is complex and time-con-suming.The cross-entropy algorithm is also effective,but it requires adaptive algorithms to solve optimization problems.The ex-ample shows that selecting Copula models based on different scenarios can improve the calculation accuracy and efficiency of credit portfolio risks.关键词
投资组合/风险分析/Copula模型Key words
portfolio/risk analysis/Copula model分类
管理科学引用本文复制引用
夏喆,余浪,黄洁莉..Copula模型的改进及其应用[J].统计与决策,2024,40(10):58-62,5.基金项目
教育部人文社会科学研究基金项目(18YJC630203) （18YJC630203）
