Portfolio Correlation Structure And Risk Measurement Based On Vine Copula

In recent years,With the deepening of economic globalization,and developing countries are also actively advocating financial liberalization,which makes the degree of opening up of China's financial market gradually improve.If the international financial market is hit by financial risks,China's financial market will also be affected.At the same time,the development of financial innovation has increased the types of investment products in the financial market,which not only increases the investment risk,but also reduces the stability of the financial market.When investing in daily financial products,investors often choose a variety of assets in different financial markets to allocate their investment portfolios,so as to achieve the purpose of risk diversification.If the Va R of investment portfolio can be calculated according to the historical income data of financial assets,it can provide some reference basis for investors.The premise of accurately measuring the portfolio risk is to accurately describe the interdependent relationship between the selected portfolios.Therefore,the primary problem to be solved in financial market risk management is how to accurately describe the structure of financial portfolio.The in-depth study and analysis of the interdependence structure of financial market not only has important theoretical and practical significance for risk measurement,but also helps to improve the scientific and accuracy of financial decision-making.With the increase of the number of assets in the portfolio,traditional research methods are difficult to accurately describe the correlation structure among high-dimensional portfolios due to the limitation of dimensions.However,the Vine Copula model does not have dimensional limitations,and the description of the correlation structure among the assets of a high-dimensional portfolio is of high flexibility and accuracy,which is conducive to improving the accuracy of Va R measurement,helping investors reasonably construct portfolios and reduce risks.Based on this,this paper selects coal futures,NYMEX natural gas futures,Brent crude oil futures in the energy market,London spot gold in the gold market,Shanghai index in the Chinese stock market and US dollar index in the US dollar market to construct the investment portfolio.Firstly,the return series of each asset is analyzed,and then different ARMA-GARCH models are used to construct the edge distribution of each asset.Then,the C-Vine Copula,D-Vine Copula and R-Vine Copula models are used to describe the related structures among investment portfolios.Finally,the variance-covariance method,the historical simulation method and the Monte Carlo method based on Vine Copula are used to establish Va R models,and the robustness test of the failure times and prediction effect of Va R is carried out to compare the accuracy of risk measurement of different models.The empirical analysis results show that: 1.The energy market is closely connected with each market,and the inter-market conditional dependence is weak;2.In terms of description of related structure of investment portfolio,the fitting accuracy of R-Vine Copula and D-Vine Copula models is generally better than that of C-Vine Copula model;3.In terms of portfolio risk measurement,Monte Carlo simulation based on Vine Copula model has the highest Va R accuracy.According to the results of empirical analysis,Investors should rationally allocate the weight of risk assets,reasonably select and disperse assets and reasonably select confidence interval according to their actual situation,so as to achieve their own investment objectives.China should improve the management of gold and US dollar reserves,establish and perfect the national energy reserve system,accelerate the integration with the international energy market,so as to strengthen the ability of China's financial market to resist and control risks.