【摘要】 运用Copula方法研究了含股指期货的投资组合的风险度量问题.首先采用不同的GARCH模型对单个资产收益率建模,然后选择Clayton Copula函数来描述投资组合各资产之间的相关结构,建立联合分布模型,进而采用Monte Carlo方法模拟产生各资产的收益率序列,计算出投资组合的VaR.Kupiec检验表明,ClaytonCopula-GARCH模型在投资组合风险度量上具有较高的准确性.更多还原

【Abstract】 In this paper,we use Copula method to measure VaR of portfolio which contain stock index futures.First,choose different GARCH models to fit each asset return series, second,select Clayton Copula function to describe the relational structure between each asset of the portfolio and build joint distribution model,third,use Monte Carlo method to produce each return sequence of the assets,and then calculate VaR of the portfolio.Kupiec inspection showed that the VaR measure method based on Clayton Copula-GARCH model is effective.更多还原