重庆大学学报：社会科学版
重慶大學學報：社會科學版
중경대학학보：사회과학판
Journal of Chongqing University(Social Sciences Edition)
2013年
3期
27~32
,共null页
市场风险 流动性风险 经流动性调整的市场风险 时变Copula 极值理论 La-VaR
市場風險 流動性風險 經流動性調整的市場風險 時變Copula 極值理論 La-VaR
시장풍험 류동성풍험 경류동성조정적시장풍험 시변Copula 겁치이론 La-VaR
market risk; liquidity risk; liquidity-adjusted market risk; time-varying Copula; EVT; La-VaR
目前关于流动性调整的市场风险测度研究,主要是静态模型。针对此,文章提出经流动性风险调整的市场风险动态测度的时变Copula方法。该方法使用连接函数构建流动性风险和市场风险的联合分布,能够兼顾这两种风险的非正态特征和它们之间的动态相关结构。基于该方法度量了中国股市经流动性调整的市场风险La-VaR,Kupiec检验表明,基于时变Copula模型预测La-VaR的效果优于基于常相关Copula模型的预测效果,并且时变T-Copula模型优于时变N-Copula模型。
目前關于流動性調整的市場風險測度研究,主要是靜態模型。針對此,文章提齣經流動性風險調整的市場風險動態測度的時變Copula方法。該方法使用連接函數構建流動性風險和市場風險的聯閤分佈,能夠兼顧這兩種風險的非正態特徵和它們之間的動態相關結構。基于該方法度量瞭中國股市經流動性調整的市場風險La-VaR,Kupiec檢驗錶明,基于時變Copula模型預測La-VaR的效果優于基于常相關Copula模型的預測效果,併且時變T-Copula模型優于時變N-Copula模型。
목전관우류동성조정적시장풍험측도연구,주요시정태모형。침대차,문장제출경류동성풍험조정적시장풍험동태측도적시변Copula방법。해방법사용련접함수구건류동성풍험화시장풍험적연합분포,능구겸고저량충풍험적비정태특정화타문지간적동태상관결구。기우해방법도량료중국고시경류동성조정적시장풍험La-VaR,Kupiec검험표명,기우시변Copula모형예측La-VaR적효과우우기우상상관Copula모형적예측효과,병차시변T-Copula모형우우시변N-Copula모형。
The research on liquidity-adjusted market risk is mainly based on static model at now.In this paper,the method of dynamic measurement of liquidity-adjusted market risk is proposed which is based on time-varying Copula.Time-varying Copula function is used to construct the joint distribution of liquidity risk and market risk,which can give attention to both non-normality of the two risks and their dynamic dependency.The liquidityadjusted market risk La-VaR of Chinese stock market is calculated.The Kupiec test shows that,the time-varying Copula is better than constant correlation Copula in the aspect of forecasting the value of La-VaR,and the timevarying T-Copula is better than the time-varying Normal-Copula.
