Estimating hedged portfolio value-at-risk using the conditional copula: An illustration of model risk

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Title:	Estimating hedged portfolio value-at-risk using the conditional copula: An illustration of model risk
Authors:	陳怡璇 Chen, Yi-Hsuan
Contributors:	財務管理學系 Finance
Keywords:	Copula;風險值;避險比率;回溯測試;次級房貸危機 Copula;Value-at-risk;Hedge ratios;Backtests;Subprime market crash
Date:	2013
Issue Date:	2014-06-27 10:45:08 (UTC+8)
Abstract:	有鑑於傳統的投資組合風險值模型所產生的估計偏誤, 本研究試著提出一種新方法來改善投資組合風險值的估計. 動態copula模型首先被應用在投資組合風險值的估計, 此方法的特性為不須受限於常態分配的假設, 更能有效地描述投資組合資產間的相互關係, 以提高投資組合風險值估計的正確率. 而動態模型的考慮更能捕捉資產間關係的變動, 並即時反應在投資組合風險值的估計上, 以滿足風險管理對風險值估計正確性及時效性的要求. 資料來源為S&P 500 index 及S&P 500 index futures, 研究期間為2 The conventional portfolio value-at-risk model with the assumption of normal joint distribution, which is commonly practiced, exhibits considerable biases due to model specification errors. This paper utilizes the estimation of hedged portfolio value-at-r
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