CAJ | 학술논문

以世界十大股票市场指数为例，运用滚动MonteCarlo模拟技术，实证计算了R-vine、D—vine、C—vine及R-vineallt四种vinecopula结构对投资组合的动态VaR预测值，并进一步运用严谨的Back-testing检验方法，实证对比了上述四种vinecopula结构对投资组合的VaR预测能力的优劣．实证结果显示：不论是在等权重还是在mean—CVaR约束条件下，R-vine对投资组合的VaR预测效果是最好的．特别在高分位数水平下，其表现得更为突出．另外，D—vine的预测精度总体上要高于C—vine和R—vineallt的，而节点间全为tcopula的R—vineallt表现相对较差．
이세계십대고표시장지수위례，운용곤동MonteCarlo모의기술，실증계산료R-vine、D—vine、C—vine급R-vineallt사충vinecopula결구대투자조합적동태VaR예측치，병진일보운용엄근적Back-testing검험방법，실증대비료상술사충vinecopula결구대투자조합적VaR예측능력적우렬．실증결과현시：불론시재등권중환시재mean—CVaR약속조건하，R-vine대투자조합적VaR예측효과시최호적．특별재고분위수수평하，기표현득경위돌출．령외，D—vine적예측정도총체상요고우C—vine화R—vineallt적，이절점간전위tcopula적R—vineallt표현상대교차．
Taking the ten most important stock markets indexes as examples, this paper calculated the predicted VaR value of the portfolio with the four vine copula models, R-vine, D-vine, C-vine and R-vine all t, based on the rolling technique of monte carlo simulation. Furthermore, using rigorous Backtesting method, we compared the performance of forecasting VaR of the four vine copula models. The empirical results show that, the R-vine is the best model in measuring and predicting of the portfolio of the VaR no matter under the condition of equal weight or mean-CVaR. Under high quantile condition, the performance is better. Moreover, the overall prediction accuracy of D-vine is higher than that of C-vine and R-vine all t, however, the performance of R-vine all t is relatively worse when there is only t copula between the nodes.