基于Copula与Monte Carlo方法在投资组合风险度量中的应用研究

发布时间：2018-03-11 22:24

本文选题：VaR　切入点：Copula函数　出处：《兰州大学》2013年硕士论文　论文类型：学位论文

【摘要】：本文综合介绍了VaR模型理论,对其产生背景、研究现状、基本原理、计算过程以及方法进行了综述,同时对Copula函数进行了系统的梳理和总结.针对线性相关系数与以往常用的分析方法的不足,引入Copula函数来刻画投资组合中不同资产间的相关结构对组合的风险进行更精确地度量. 通过VaR模型对我国的上证指数和深成指数2010年1月25日至2012年12月28日的波动性加以实证分析,进行模型检验,从而得出模型有效的结论.用Copula函数刻画上证综指和深成指数之间的相关结构进而得到投资组合收益率的联合分布,建立了《Copula-VoR-GARCH模型,利用各项资产收盘价、成交量的历史数据,通过Monte Carlo模拟生成具有Copula相关结构的收益率分布,得到组合的风险价值. 本文应用Copula-VaR-GARCH模型通过Monte Carlo模拟计算投资组合的VaR值,考虑到中国证券市场收益率序列分布的非正态性,使用了既能描述方差时变性又能反映收益率分布的尖峰、厚尾特征的GARCH模型计算市场指数的VaR值.最后,在结论部分针对文章研究的的价值及不足之处进行了总结归纳,通过以上研究,对探讨股票市场波动(风险)以及与预期收益之间的关系具有重要的理论意义和实用价值.
[Abstract]:In this paper, the theory of VaR model is introduced, and its background, research status, basic principle, calculation process and methods are summarized. At the same time, the Copula function is systematically combed and summarized. The Copula function is introduced to describe the correlation structure between different assets in the portfolio to measure the risk of the portfolio more accurately. The volatility of Shanghai Stock Exchange Index and Shenzhen Stock Exchange Index from January 25th 2010 to December 28th 2012 is empirically analyzed by VaR model. The Copula function is used to depict the correlation structure between Shanghai Composite Index and Shenzhen Composite Index, and then the joint distribution of portfolio returns is obtained. The < Copula-VoR-GARCH model is established, and the historical data of closing price and trading volume of various assets are used. The yield distribution with Copula related structure is generated by Monte Carlo simulation, and the risk value of the portfolio is obtained. In this paper, the Copula-VaR-GARCH model is used to calculate the VaR value of the portfolio by Monte Carlo simulation. Considering the non-normal distribution of the return series in China's securities market, the peak which can describe the variance time-varying and the return distribution is used. The VaR value of the market index is calculated by the GARCH model with thick tail feature. Finally, in the conclusion part, the value and deficiency of the research are summarized and summarized. It is of great theoretical significance and practical value to explore the relationship between volatility (risk) and expected return in stock market.
【学位授予单位】：兰州大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224

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