基于Copula_GARCH的投资组合风险分析.pdf

2006 3 3 : 1000-6788( 2006) 03-0045-08 Copula-GARCH 1 1 2 2 吴振翔 , 陈 敏, 叶五一, 缪柏其 ( 11 , 100080; 21 , 230026) : Copula GARCH , Copula-GARCH . , , . : ; ; Copula; GARCH : F830159; O2111 3 : A Ris Analysis of Portfolio by Copula-GARCH 1 1 2 2 WU Zhen-xiang , CHEN Min , YE Wu-yi , MIAO Ba-i qi ( 11Academy of Mathematics and Systems Science, CAS, Beijing 100008, China; 21University of Science and Technology of China, Hefei 230026, China) Abstract: Copula can describe the dependency structure of multi-dimension random variable. In this paper, Copula and the forecast function of GARCH model are well combined, and a Copula-Garch model is built for ris analysis of portfolio investment. By this model, empirical portfolio ris analysis is made in Chinese stoc mar et. At last, the min-i ris portfolio is given. Key words : portfolio; ris analysis; Copula; GARCH 1 Copula . , Copula . Copula Schweizer S lar( 1983) , Genest MacKay ( 1986) Joe. H. ( 1993) , Copula . Embrechts etc. ( 1999) Copula , . , Claudio Romano( 2002) Copula ; Embrechts etc. ( 2003) Durrleman etc( 2001) Copula ; Roberto De Matteis( 2001) Copula, Archimedean Copula ; Ling Hu( 2002) Copula ; Gabriel. F. etc( 2003) Copula ; Davide.M. etc( 2004) Copula ( CDO BDS) , t-copula ; Jean-David. F. ( 2004) Copula ;Hull, White( 2004) Copula . , Copula . CSFB( Credit Suisse First Boston) Creditris + JP Morgan Creditmetrics Copula . 2002 Copula . ( 2002a, 2002b) Copula ; ( 2004) VaR Copula ; ( 2003) Copula . ( 2004) Copula . : 2005-03-29 : ( : ( 1977- ) , ( ) , , , ; , , . 46