基于copula理论与EVT-SV模型的金融市场VaR测度研究.docx

基于copula理论与EVT-SV模型的金融市场VaR测度研究
摘要：
本文基于copula理论与EVT-SV模型，针对金融市场VaR测度问题进行深入研究。首先，通过对基于正态分布假设的VaR计算方法的不足进行分析，引入copula理论解决变量之间的非线性相关性。同时，将EVT-SV模型应用于VaR计算中，有效地提高了VaR的准确性和稳健性。最后，本文以实际数据为例，进行VaR计算，并比较不同模型的VaR估计结果，验证了本研究所提出的方法的可行性和有效性。
关键词：copula理论，EVT-SV模型，VaR，金融市场
Introduction
ValueatRisk(VaR)iswidelyusedinfinancialmarketsformeasuringthepotentiallossofaportfoliooraspecificasset.ThetraditionalVaRcalculationmethodassumesthatthereturnsofeachassetintheportfolioarenormallydistributedandindependentofeachother,whichisnotalwaysthecaseinrealfinancialmarkets.Copulatheoryisintroducedtosolvethisproblembydescribingthedependencestructureofrandomvariablesbetweendifferentassets.Ontheotherhand,extremevaluetheory,withitsfocusonthetailevents,isusedtomodeltheextremefluctuationoffinancialmarkets,whichmakesitpossibletomakeamoreaccurateVaRmeasurement.
Inthispaper,weproposeaVaRmeasurementmethodbasedoncopulatheoryandtheEVT-SVmodel,whichcanbeusedtobettercapturethetailofthedistributionofassetreturns.Thismethodcaneffectivelydealwiththenon-lineardependencerelationshipbetweenassetsandimprovetheaccuracyandrobustnessofVaRmeasurement.
Backgroundandliteraturereview
InthetraditionalVaRcalculationmethod,thereturnsofeachassetareassumedtobenormallydistributedandindependent,whichisnotalwaysthecaseintherealworld.Inordertodescribethedependencestructureofrandomvariablesbetweendifferentassets,copulatheoryisintroduced.Copulatheoryassumesthatthemarginaldistributionsofdifferentassetsareindependent,andtheirdependencestructureisdeterminedbyacopulafunction.Thecopulafunctioncanreflectthenon-linearcorrelationbetweenassetsbetterthanlinearcorrelationmethods.
TheEVT-SVmodel,whichisbasedonextremevaluetheoryandstochasticvolatilitymodels,isusedtomodelthetailofthedistributionofassetreturns.Itcancapturetheextremefluctuationsinthefinancialmarketandmakemoreaccuratepredictionsoftailevents.TheEVT-SVmodelismoreaccuratethanothertailmodels,suchasGARCH,basedonitsassumptionsaboutthepropertiesofthetailsofthedistribution.
Methodology
The