论文标题
基于葡萄藤的投资组合水平有条件风险措施预测
Vine Copula based portfolio level conditional risk measure forecasting
论文作者
论文摘要
准确地估计金融投资组合的风险措施对于金融机构和监管机构至关重要。但是，许多现有模型在汇总投资组合级别上运行，因此无法捕获投资组合组件之间的复杂交叉依赖性。为了解决这个问题，提出了一种新方法，该方法将葡萄藤与单变量Arma-Garch模型结合使用，用于边际建模，以通过模拟以应力因素为条件的投资组合级预测来计算条件投资组合级别的风险度量估计。然后提出了一种基于分位数的方法，以观察在条件资产的特定状态下的风险度量的行为。在对具有不同压力因素的西班牙股票的案例研究中，结果表明，投资组合在美国市场上的急剧下滑非常强大。同时，没有证据表明这种行为相对于欧洲市场。
Accurately estimating risk measures for financial portfolios is critical for both financial institutions and regulators. However, many existing models operate at the aggregate portfolio level and thus fail to capture the complex cross-dependencies between portfolio components. To address this, a new approach is presented that uses vine copulas in combination with univariate ARMA-GARCH models for marginal modelling to compute conditional portfolio-level risk measure estimates by simulating portfolio-level forecasts conditioned on a stress factor. A quantile-based approach is then presented to observe the behaviour of risk measures given a particular state of the conditioning asset(s). In a case study of Spanish equities with different stress factors, the results show that the portfolio is quite robust to a sharp downturn in the American market. At the same time, there is no evidence of this behaviour with respect to the European market.
