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金融资产收益率的实际分布具有明显尖峰肥尾和不对称等特征,本文采用非对称拉普拉斯分布来刻画这些特征,结合Copula函数技术来描述资产间的相关性结构,研究了市场组合VaR和CVaR的度量和分配。选取上证指数和深圳成指的组合为例,计算了组合风险及其分配。结果表明,基于t-Copula-AL模型的VaR、CVaR法计算简单准确,且能方便地进行风险分配。
The actual distribution of return on financial assets has the characteristics of obvious peak fat tail and asymmetry. In this paper, asymmetric Laplacian distribution is used to characterize these characteristics. Copula function technique is used to describe the inter-asset correlation structure, and the market portfolio VaR And CVaR measurement and distribution. Taking the combination of the Shanghai Composite Index and Shenzhen Chengzhi as an example, the portfolio risk and its distribution are calculated. The results show that VaR based on t-Copula-AL model is simple, accurate and easy to allocate risk.