Study on the Market Risk Measurement of the Style Portfolios in Stock Markets Based on EVT-t-Copula Model
|
| Title | Study on the Market Risk Measurement of the Style Portfolios in Stock Markets Based on EVT-t-Copula Model |
| Authors | |
| Abstract | For the presence of non-normal distribution characteristics in the financial assets returns, the model of AR(1)-GJR(1,1) is used to characterize the marginal distribution of the style assets in China stock market. The Copula function is introduced to analyze the dependency structure between the six style assets, combined with the marginal distributed residual sequences. And the joint return distribution of the style portfolios is simulated, combined with extreme value theory and Monte Carlo simulation method. Then the market risks (VaR and CVaR) of the style portfolios in China stock markets are obtained. The results of the study show that the generalized Pareto distribution Model can well fit the non-normal distribution characteristics such as peak and fat tail in the style assets returns. |
| Publisher | kassel university press GmbH |
| Date | 2013-03-24 |
| Source | 1868-1646 |
| Rights | The submitting author warrants that the submission is original and that she/he is the author of the submission together with the named co-authors; to the extend the submission incorporates text passages, figures, data or other material from the work of others, the submitting author has obtained any necessary permission. Articles in this journal are published under the Creative Commons Attribution Licence (CC-BY What does this mean?). This is to get more legal certainty about what readers can do with published articles, and thus a wider dissemination and archiving, which in turn makes publishing with this journal more valuable for you, the authors. This journal has been awarded the SPARC Europe Seal for Open Access Journals (What´s this?) |