An Empirical Study on Portfolio Risk Analysis Based on Copula - GARCH

被引：0
|
作者：
Wang, Rui [1 ]
机构：
[1] Univ Sci & Technol Beijing, Dept Math & Phys, 30 Xueyuan Rd, Beijing 100083, Peoples R China
来源：
PROCEEDINGS OF THE 2017 2ND INTERNATIONAL CONFERENCE ON EDUCATION, SPORTS, ARTS AND MANAGEMENT ENGINEERING (ICESAME 2017) | 2017年 / 123卷
关键词：
Copula-GARCH model; portfolio; Monte Carlo simulation; Risk Analysis;
D O I：
暂无
中图分类号：
C [社会科学总论];
学科分类号：
03 ; 0303 ;
摘要：
Based on Copula function and GARCH model, this paper establishes the Copula-GARCH-GED model to analyze the portfolio risk of four stocks in different industries-Minsheng Investment, Huayi Brothers, Renhe Pharmaceutical and Yanghe Shares in the Shenzhen stock market. And then, we use the Monte Carlo simulation method, in the case of different confidence coefficients and the minimum risk, to calculate the investment ratio of the four assets and obtain the portfolio of VaR.
引用
收藏
页码：1985 / 1990
页数：6
相关论文
共 50 条
  • [1] Measuring Risk of Portfolio : GARCH-Copula Model
    Ben Messaoud, Samia
    Aloui, Chaker
    [J]. JOURNAL OF ECONOMIC INTEGRATION, 2015, 30 (01) : 172 - 205
  • [2] Portfolio Risk Analysis Based on Copula Method
    Shi, Hong-yan
    Han, Wei-wei
    [J]. 2015 INTERNATIONAL CONFERENCE ON INFORMATION SCIENCE AND MANAGEMENT ENGINEERING (ICISME 2015), 2015, : 223 - 226
  • [3] Performance analysis of EVT-GARCH-Copula models for estimating portfolio Value at Risk
    Lee, Sang Hun
    Yeo, Sung Chil
    [J]. KOREAN JOURNAL OF APPLIED STATISTICS, 2016, 29 (04) : 753 - 771
  • [4] Estimating value at risk of portfolio by conditional copula-GARCH method
    Huang, Jen-Jsung
    Lee, Kuo-Jung
    Liang, Hueimei
    Lin, Wei-Fu
    [J]. INSURANCE MATHEMATICS & ECONOMICS, 2009, 45 (03): : 315 - 324
  • [5] Portfolio optimization based on GARCH-EVT-Copula forecasting models
    Sahamkhadam, Maziar
    Stephan, Andreas
    Ostermark, Ralf
    [J]. INTERNATIONAL JOURNAL OF FORECASTING, 2018, 34 (03) : 497 - 506
  • [6] Dependence Modeling and Portfolio Risk Estimation using GARCH-Copula Approach
    Ab Razak, Ruzanna
    Ismail, Noriszura
    [J]. SAINS MALAYSIANA, 2019, 48 (07): : 1547 - 1555
  • [7] Real estate and portfolio risk: an analysis based on copula functions
    Dulguerov, Matthieu
    [J]. JOURNAL OF PROPERTY RESEARCH, 2009, 26 (03) : 265 - 280
  • [8] Study on Value at Risk of Investment Portfolio Based on Copula Theory
    Yang, Jianhui
    Mo, Ruijun
    [J]. NFD 2010: INTERNATIONAL CONFERENCE ON NETWORK AND FINANCE DEVELOPMENT, 2010, : 103 - 107
  • [9] Research on Measurement Model of Liquidity Risk of Portfolio and its Empirical Testing Based on Copula
    Han Guowen
    [J]. PROCEEDINGS OF THE 2ND INTERNATIONAL CONFERENCE ON RISK MANAGEMENT & ENGINEERING MANAGEMENT, VOLS 1 AND 2, 2008, : 751 - 754
  • [10] PORTFOLIO RISK ANALYSIS USING GARCH MODEL
    Covaci, Brindusa
    Panait, Iulian
    [J]. PROCEEDINGS OF THE AMERICAN CONFERENCE ON APPLIED MATHEMATICS: RECENT ADVANCES IN APPLIED MATHEMATICS, 2009, : 122 - +
12345