CAJ | 학술논문

针对传统线性计量模型无法充分刻画中国股市风格资产收益系列存在“自相关”、“尖峰“、“厚尾”等非正态分布特征以及风格资产间存在复杂的非线性相关结构的局限。本文首先采用AR （1）-GJR （1，1）模型来刻画中国股市风格资产的边缘分布，接着结合各边缘分布的残差系列，引入Copula函数来分析这六种风格资产之间的相关结构，并结合极值理论和蒙特卡罗模拟方法来模拟大盘成长、大盘价值、中盘成长、中盘价值、小盘成长、小盘价值这六种股市风格资产投资组合的联合收益率分布函数，在此基础上求出各我国股市风格资产组合的市场风险（VaR与CVaR）。研究结果表明，根据极值理论得到的广义帕累托分布能够较好拟合风格资产日收益率序列的尾部特征，相比其他计算方法的VaR和CVaR值，基于EVT-t-Copula模型能够更准确度量中国股市风格资产组合的市场风险。因此，EVT-t-Copula模型有助于提高中国股市投资组合的风险管理效率。
침대전통선성계량모형무법충분각화중국고시풍격자산수익계렬존재“자상관”、“첨봉“、“후미”등비정태분포특정이급풍격자산간존재복잡적비선성상관결구적국한。본문수선채용AR （1）-GJR （1，1）모형래각화중국고시풍격자산적변연분포，접착결합각변연분포적잔차계렬，인입Copula함수래분석저륙충풍격자산지간적상관결구，병결합겁치이론화몽특잡라모의방법래모의대반성장、대반개치、중반성장、중반개치、소반성장、소반개치저륙충고시풍격자산투자조합적연합수익솔분포함수，재차기출상구출각아국고시풍격자산조합적시장풍험（VaR여CVaR）。연구결과표명，근거겁치이론득도적엄의파루탁분포능구교호의합풍격자산일수익솔서렬적미부특정，상비기타계산방법적VaR화CVaR치，기우EVT-t-Copula모형능구경준학도량중국고시풍격자산조합적시장풍험。인차，EVT-t-Copula모형유조우제고중국고시투자조합적풍험관리효솔。
The traditional linear model cannot adequately describe the gains series of style assets in Chinese stock market and has autocorrelation,spike,fat tails and other non-normal distribution features;and there exists complex nonlinearly related structure between style assets.Firstly,we apply the AR (1 )-GJR (1 .1 )model to character-ize the marginal distributions of the style assets in Chinese stock market,and with marginal distribution of residuals series,we introduce copula function to analyze the related structure among these six kinds of style assets.By ex-treme value theory and Monte Carlo simulation method,we simulate the joint return distribution of various style as-sets,and eventually get the market risk of style assets portfolio in Chinese stock market (VaR and CVaR).There-fore,EVT-t-Copula model helps to improve risk management efficiency of portfolio in Chinese stock market.