The Application of Copula in the Analysis Calculation with respect to Dependent Portfolio VaR

机译：Copula在相关投资组合VaR分析计算中的应用

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Utilizing the properties of Copula, the paper presents the methods and the procedure for the estimation of the portfolio VaR relating to dependence. In order to implement the computations for multivariate portfolio VaR by means of short-cut and practical methods, trying to disintegrate the dependent structure of multidimensional investment into the bivariate Copulas. Meanwhile, provides the criterions for model selection, the method to parameter estimation and the calculation model for threedimensional Kendall τ. Finally, the empirical results are got from the aerial stocks within shanghai(Hu) stock markets; explain this method for dependent multivariate portfolio VaR is feasible and effective.

机译：利用Copula的性质，提出了估计与依赖相关的投资组合VaR的方法和步骤。为了通过捷径和实用的方法来实现多元投资组合VaR的计算，试图将多维投资的依存结构分解为二元Copulas。同时，为三维肯德尔τ提供了模型选择的标准，参数估计的方法和计算模型。最后，从上海股票市场内的航空股票中获得了实证结果。解释这种方法对于相关的多元投资组合VaR是可行和有效的。

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《2008年国际应用统计学术研讨会（2008 International Institute of Applied Statistics Studies）论文集》|2008年|1-6|共6页
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Tang Jiayin; He Ping; Wang Jianpeng; Wang Lu;
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中图分类 FO;
关键词
Copula; VaR calculation; portfolio; dependence; Gumbel-Copula; Monte Carlo simulation;

机译：Copula; VaR计算;投资组合;依赖性; Gumbel-Copula; Monte Carlo模拟;

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The Application of Copula in the Analysis Calculation with respect to Dependent Portfolio VaR

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