基于Copula-AL法的VaR和CVaR的度量与分配

Abstract

Abstract: The actual distributions of asset returns are always characterized by steep peaks, heavy tails and asymmetry.In this paper,asymmetric Laplace distribution is used to describe these features, study the VaR and CVaR of market portfolio and their allocation by combining with Copula function technique in describing the relationship between assets.The portfolio risk and their allocation with portfolio of Shanghai Composite Index and Shenzhen Component Index are also calculated. The results show that VaR and CVaR based on t-Copula-AL model are more simple and precise, and could be easily used to calculate risk allocation.

Key words: value at risk, conditional value at risk, Copula, asymmetric laplace distribution

CLC Number:

F830.9

DU Hong-jun, WANG Zong-jun. Measuring and Allocating VaR and CVaR Based on Copula-AL Method[J]. Chinese Journal of Management Science, 2012, (3): 1-9.

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Measuring and Allocating VaR and CVaR Based on Copula-AL Method

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