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    題名: Improved estimation of portfolio value-at-risk under copula models with mixed marginals
    作者: 劉威漢;Miller, Douglas
    貢獻者: 淡江大學財務金融學系
    日期: 2006-08
    上傳時間: 2011-10-24 10:31:31 (UTC+8)
    出版者: Hoboken: John Wiley & Sons, Inc.
    摘要: Portfolio value-at-risk (PVAR) is widely used in practice, but recent criticisms have focused on risks arising from biased PVAR estimates due to model specification errors and other problems. The PVAR estimation method proposed in this article combines generalized Pareto distribution tails with the empirical density function to model the marginal distributions for each asset in the portfolio, and a copula model is used to form a joint distribution from the fitted marginals. The copula–mixed distribution (CMX) approach converges in probability to the true marginal return distribution but is based on weaker assumptions that may be appropriate for the returns data found in practice. CMX is used to estimate the joint distribution of log returns for the Taiwan Stock Exchange (TSE) index and the associated futures contracts on SGX and TAIFEX. The PVAR estimates for various hedge portfolios are computed from the fitted CMX model, and backtesting diagnostics indicate that CMX outperforms the alternative PVAR estimators.
    關聯: Journal of Futures Markets 26(10), pp.997-1018
    DOI: 10.1002/fut.20224
    顯示於類別:[財務金融學系暨研究所] 期刊論文

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