CAJ | 학술논문

摘要随着国际金融资本和投机资金不断涌入能源市场，能源价格的震荡幅度加剧，为了积极应对这种挑战，需要准确度量价格波动带来的风险，因此本文提出能源价格风险值（VaREp）指标，建立了基于Copula-VaR的能源价格风险模型，定量研究能源投资组合的风险．理论推导和实证研究结果表明，基于Copula—VaR的能源价格风险模型充分考虑了能源价格之间的相互关系优化组合权重，在计算能源投资组合权重分配时，与历史模拟法、等权重分配方法和单一投资方案相比，能更好地降低投资风险．
적요수착국제금융자본화투궤자금불단용입능원시장，능원개격적진탕폭도가극，위료적겁응대저충도전，수요준학도량개격파동대래적풍험，인차본문제출능원개격풍험치（VaREp）지표，건립료기우Copula-VaR적능원개격풍험모형，정량연구능원투자조합적풍험．이론추도화실증연구결과표명，기우Copula—VaR적능원개격풍험모형충분고필료능원개격지간적상호관계우화조합권중，재계산능원투자조합권중분배시，여역사모의법、등권중분배방법화단일투자방안상비，능경호지강저투자풍험．
Abstract With a number of international cash flows and venture capital pouring into energy markets, the energy price goes up and down sharply. To rise up to the challenge, we must estimate the risk deriving from price volatility accurately. In this paper, we first introduce the energy price risk level index （VaREp）, and then set up the energy price risk measurement model based on Copula-VaR. At last we make an empirical analysis about the risk of energy investment portfolios. The result shows that energy price risk measurement model based on Copula-VaR has an advantage over the historical simulation method and weight-equal method because of considering relativity of price variables. When we used the model to analyze the risk of energy investment portfolios, we found that the risk of portfolio is lower than separate investments and the risk-avoiding performance of the optimal investment projects is better than the project of equal weight.