论文部分内容阅读
本文以两类时变Copula-EVT-VaR模型作为核心研究方法,探讨了次贷危机对于跨国资产组合VaR模型测度准确度的影响,进而对比分析了两类模型的测度精度。研究结果表明,次贷危机的爆发,导致股市间尾部动态极值风险传导的程度显著增强,VaR的测度精度明显降低,通过分散化投资以降低组合风险的作用在一定程度上被削弱。因此在金融危机传染的背景下进行组合投资,应注重对比研究各类风险评价模型的测度效率,谨慎进行资产组合选择以及风险管理。
In this paper, two types of time-varying Copula-EVT-VaR models are taken as the core research methods to explore the impact of the subprime mortgage crisis on the measurement accuracy of the VaR model for multinational asset portfolios. Then the measurement accuracy of the two models is compared. The results show that the outbreak of the subprime mortgage crisis leads to the significant increase of the dynamic extreme risk conduction between the stock markets and the measurable accuracy of the VaR, which is weakened to a certain extent by diversifying the investment to reduce the portfolio risk. Therefore, in the background of financial crisis contagion portfolio investment, we should focus on comparative study of various types of risk assessment model measurement efficiency, prudent portfolio selection and risk management.