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Research Of Portfolio Risk Based On Copula-GARCH

Posted on:2013-12-17Degree:MasterType:Thesis
Country:ChinaCandidate:W H Y LiuFull Text:PDF
GTID:2249330371984366Subject:Quantitative Economics
Abstract/Summary:PDF Full Text Request
The study of risk refers to so many fields, such as risk measurement techniques, correlation research and so on. This article is about the portfolio risk research of china stock market, which takes the relevance as the breakthrough point. The paper bases on the Shanghai、 Shenzhen and Hong Kong share index:Firstly, paper outlines theory of risk management:the risk measurement techniques (fluctuation theory, risk measure model) and coupling theory (Copula) in particular. Copula is an useful theory which can be implied to construct joint distribution and can explore non-linear relationship. The article puts forward to apply the theory to calculate VaR of portfolio, using the Monte Carlo simulation technology.Secondly, paper does the empirical research of the return series by Copula-GARCH model and gets the portfolio market risk. The models used are proved to be valid by Monte Carlo simulation. Besides, other conclusions are:GARCH model which has the assumption of t-distribution suits to sketch the fluctuation of single market. The relationships between them are different, Gumbel copula suits to shanghai-Hong Kong as the upper-tail correlation, while Frank copula for shanghai-Shenzhen as the symmetric correlation on upper and lower tail. Empirical research also suggests that the market risk combined by shanghai-Hong Kong is much smaller than combination of shanghai-Shenzhen.
Keywords/Search Tags:Monte Carlo, Copula-GARCH Model, portfolio, Value at Risk
PDF Full Text Request
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