基于R-vine copula的原油市场极端风险动态测度研究

发布时间：2018-01-13 06:24

本文关键词：基于R-vine copula的原油市场极端风险动态测度研究　出处：《中国管理科学》2017年08期 　论文类型：期刊论文

【摘要】：近年来,原油价格的暴涨暴跌给实体经济的稳定发展带来了众多的不确定因素,因此对原油市场的极端波动风险进行准确刻画和预测具有重要的理论和现实意义。结合EVT极值理论,构建五类R-vine copula模型,刻画了六大原油市场间的极值风险相依关系,在此基础上,分别构建资产组合的在险价值(VaR)与预期损失(ES)模型,进行样本外极端风险的滚动测度,并通过backtesting方法,对比了各类模型测度精度的差异状况。研究结果表明:结合EVT极值理论的Mixed R-vine copula模型能够有效地描述原油市场间的尾部极值风险相依关系,取得了更好的风险测度效果;VaR模型能够较好地测度较低风险水平上的组合风险价值,但在高风险水平上的测度效果却有所不足,而ES模型则在高风险水平上表现出了更为优异的组合风险测度能力。
[Abstract]:In recent years, the rise and fall of crude oil price has brought many uncertain factors to the steady development of the real economy. Therefore, it is of great theoretical and practical significance to accurately depict and predict the extreme volatility risk in crude oil market. Combined with EVT extreme value theory, five kinds of R-vine copula models are constructed. On the basis of describing the relationship of extreme value risk dependence between the six crude oil markets, the model of VaR and expected loss of portfolio is constructed respectively. The rolling measure of the extreme risk outside the sample is carried out, and the backtesting method is used. The difference of measurement accuracy of various models is compared. The results show that the Mixed R-vine is based on EVT extreme value theory. Copula model can effectively describe the tail extremum risk dependence among crude oil markets. Better risk measurement effect has been achieved; VaR model can better measure the value of portfolio risk at lower risk level, but the measurement effect on high risk level is insufficient. On the other hand, es model shows more excellent portfolio risk measurement ability at high risk level.
【作者单位】：成都理工大学商学院;云南财经大学金融学院;西南交通大学经济管理学院;
【基金】：国家自然科学基金资助项目(71371157,71671145) 教育部人文社科基金规划项目(15YJA790031,16YJA790062,17YJA790015,17XJA790002) 中央高校基本科研业务费专项资金资助项目(26816WCX02) 四川省科技青年基金项目(2015JQO010) 四川省教育厅人文社科重点项目(14SA0039) 成都理工大学中青年骨干教师培养计划资助项目(JXGG201420) 国家级大学生创新创业训练计划项目(201610616035)
【分类号】：F416.22
【正文快照】： 3.西南交通大学经济管理学院,四川成都610031)教师培养计划资助项目(JXGG201420);国家级大学生创新创业训练计划项目(201610616035)1引言原油是经济增长的重要物质保障,原油与经过加工的原油产品被广泛地使用于社会生产之中,原油市场的波动将对实体经济的发展产生重大影响[1]

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