Analysisoffinancialriskmeasurementtechnology-毕业论文翻译

1、An alysis of finan cial risk measureme nttech no logyAbstract This paper estimates the finan cial risk of anew methodof Copula theorystudiesat home andabroad have bee n summarizedmore clearly outli neCopula methods in finan cial market risk estimates in the applicati on developme nt process and the

2、status quo, on this basis , proposed a comprehensiverisk measureCopula method can be adaptive andapplicati onprospects.Keywords Copulacalculati onof finan cialmarket risk in tegrated riskWith econo mic globalizati onand financialliberalization, the global financialmarketshas beenparticularlyrapiddev

3、elopme ntoffinan cialderivatives,show ingun precede ntedvolatility,finan cialin stituti onsand in vestorsto therisksfacedby anin creas in glycomplexand diverse,sofinan cialriskassessme ntandmeasureme nthasraisedhigherrequireme nts. traditi onal risk measureme nt methods cannot meet the needs of the

4、modernfinancialindustry based on this, Copula method estimates this new tech no logy is in troduced in the measureme nt of finan cial risk .Copulafun cti onsare calleddepe ndentfunction orconnectionfunction , which is the jointdistributionof multi-dimensionalrandomvariable withone-dimensionalmargina

5、l distribution function of link.Copula theory proposed in 1959 by Sklar, defi nes a joint distributi on decompositi on the K edge of its distributi on and a Copulafunction,which describes the Copulafunction of the correlation structure between variables, Sklar theorem Copula approach laid the founda

6、tion for the development of the system, but until the late 1990s was only in troduced in the finan cial sector, Nels on ( 1998) in troduceda more systematicdefi niti onof Copula,construction method, and a comprehensiveintroductionto the n ature of the Copulafun cti onand severalimporta nt Copulafun

7、cti onfamily. Embrechs (1999)Copula theory was in troduced into the finan cial sector, the financialrisk analysis to a new stage in our country,Copula of a late start, the first is Zhang Yao Ti ng (2002), i ntheory, main ly from the perspective of probability theory to explore the Copula methods in

8、finance on the feasibility of the application. Copula financialrisk measurementmethod has the following main advantages: Copulatheory does not restrict the choice of marginal distributi on, comb ined with Copula fun cti ons can be more flexible to build multivariate distributi onfun cti on;model in

9、the use of Copula theory, the marginal distributi on reflects only a sin glevariablein dividualin formati on,in formati onon the correlatio nbetwee nvariables to be embodied en tirely by the Copula fun cti on can be the marginal distributi on of ran dom variables and theirrelati on shipbetwee n the

10、separate studies; Copula fun cti on through the choice of differe nt forms of use can accurately capture the non-variablelin ear,non-symmetricalrelati on ship,in particular, is easy tocapture the correlati on betwee n the distributi on of the tail, which helps organizationsmeasure of risk management

11、un der extreme con diti ons in the risk values.A, Copula methods in foreig n finan cial markets,risk measureme ntapplicati on1 no rmalmode, theapplicati on of Copula MethodAs with any new methodis applied to new areas, like, Copula methods of risk management in the financial markets have gone from s

12、imple to complex, from theoretical research to con crete evide nee of the process. Sklar (1959) to Nels on (1998), on the Copula theory has played a foundationalrole.Embrochts (1999) as the releva nt measure of the Copula tools, the introductionof the financialsector. Matteis(2001) details the Arehi

13、medea n Copulas in data modeli ng applicati ons, and use of the Danish fire in sura neelossesCopula were measured. Bouye (2000) Copula in the finan cial systemin troducedin someapplicati ons.Embrechts (2003),Gen est(1995), respectively, insimulatio n tech no logy, semi-parametric estimatio n of the

14、parameter estimates of the Copula of statistical inference described in detail. Roberto De Matteis (2001) on the Copula fun cti on, in particular,Archimedea nCopulafun cti on is made more comprehe nsive summary. Roma no (2002) bega n to con duct a risk an alysis using Copula, the risk of the portfol

15、io value, while using extreme value by using themulti-f un cti onMonte Carlo method tocharacterize the market risk. Forbes (2002) through thefixed Copula Copula model to describe a variety of related models, and this one method widely used in financial market risk management,portfolioselectionand as

16、setpricing.Hu (2002) proposed a mixed Copula function(Mixed-Copula) con cept, that is adiffere ntlin earcomb in ati onof Copula fun cti ons, so that you can use aCopula fun cti on to describe the patter ns associated with a variety of multiple correlati onbetwee nthe finan cialmarkets The above theo

17、retical literature mainly from the applicability of the Copula approach, the choice of form and fun cti on Copula, Copula fun cti on of parameter estimation methods to start a more in-depth study and use of finan cial market data for the releva nt empirical descripti on, but all is fixed at a fixed

18、period of time un der the assumpti on that the releva nt mode, does not reflect the rapidly cha nging finan cial market risk, the risk of the portfolio value of dyn amic characteristics. 2 Dynamic mode Copula methods of application As we all know, the finan cial market portfolio risk volatility all

19、the time, i n case of a fixed model assumpti ons tend to un derestimate the risk estimates, so the establishme nt ofa dyn amic, timely and reflects the volatility characteristicsof the model is even more important. Dean Fantazzini (2003) introduced the concept of the conditions Copula function risk

20、measurementin financial markets, whileKendall s rank correlation coefficient and the traditional lin ear correlati on coefficie nts were used in mixed Copula functionmodels on the U.S. futuresmarket analysis.Patton (2001) by of the yen / dollar and sterli ng / dollar exchangerate betweenthe correlat

21、ion foundin bothbefore and after introductionof the euro exchangeratecorrelationbetweenthe degree of significantchangeshave taken place in this basis, Pattonproposed theintroduction of time parameters,in the second elementun der the assumptio n of no rmal distributio n proposed to characterize the t

22、ime-varyi ng Copula fun cti on of finan cial assets. Goorbergh, Genest and Werker (2005) in Patton snew design based on the dynamic evolutionequationsand time-varying Copula used in the study of option pric ing . Jing Zhang, Dominique Guega n (2006) bega n to con struct the statistical good ness of

23、fit test to determ ine the amount of sample data during the application of dyn amic modeli ng Copula model structure, which is related to time-vary ing Copula Copula model and variable structure of the statistical model inferen ce, Ane, T.and C.Labidi (2006) using the con diti ons Copula spillover e

24、ffects on the financial markets were analyzed, Bartram, SM, SJ Taylor, and YH Wang (2007) using GJR-GARCH-MA-t as marginal distributi on and asa conn ecti on withGaussia nCopula Copula fun cti on to create a dyn amic model of the European stock market data were fitted to obtain good results, Aas, K.

25、, C. Czado, A. Frigessi, and H. Bakken (2008) in a multi- distributi on un der the premise of the dual-shaped Copula modeli ng has bee n studied.Two, Copula methods in China s financial market risk measureme ntapplicati on1 twoyua nCopula methods of applicati onCopula methods in ourlate start, un ti

26、l Zhang Yao Ti ng (2002) was the method into our country, mainly in probability and statistics point of view of the Copula methods in finance on the feasibility of the applicati on, describes the conn ecti on Copula fun cti on defi niti on,n ature, connect correlati on fun cti on derivedindicators.T

27、hen Wei Yanhua (2003, 2004) with t-GARCHmodel and the Copula fun cti on, the establishme ntofCopula-GARCH model for the plates and the Shanghai stock market in dex return series correlati on betwee n the conditionsof the analysis results showed that differentsecti ons of the in dex return series has

28、 a differe nt margi nal distribution,the sequeneebetweena strong positivecorrelati on betwee n thecon diti onsassociated withtime-vary ing, the correlati on betwee n seque nee cha nges in the trend is very similar to the history of road econo my,Yao celebrati on (2004) gives the releva nt structure

29、Copula,Spearma nrankcorrelati oncoefficie ntandthe tail withKen dalltaucorrelatio ncoefficie nt,and1 the threeassociatedmetrics andCopula betwee nthe variousestimati onmethods, thecorrelati oncoefficient,and theShan ghaiandShenzhencompositein dexclos ingforexample,twodiscussedthe releva nee ofstock

30、marketvolatility,theestablishmentof agoodmathematicalmodel leaves May Day, the Miao Bai, Wuzhen Xia ng (2006)the use of ArchimedeanCopula conditionsgiven todetermine the portfolio value at risk (CVaR) method against the euro and the yen made a corresponding investmentportfolio risk analysis, has bee

31、n both themi nimum risk portfolios, and VaR un derdiffere ntcon fide neelevel and comb in ati onof factors made asensitivityanalysis. Tsang Kin-Chen Junfang (2005) useCopula fun cti ons of Shan ghai A shares and B shares of the stock market in dex correlati on structure an alysis, we found with the

32、results of different studies of foreign markets: whether the market are on the rise or fall period, the Shanghai A-share and B share index betweenboththere is a strong The tail correlation Li Yue, Cheng Xijun (2006) method of an alysis using Copula Shan ghai Composite In dex and the Hang Seng In dex

33、 tail correlati on Shaw Formosa (2007) is more comprehe nsive in troducti on to the method of applicati on of twoyua n CopulaModeli ng and circumsta nces applicati ons.(2) the applicati onof multivariate CopulaMethod Only in the binary case is not a comprehe nsive measure of financial market risks, the reality of financial markets,in stituti onalin vestorsand in dividualin vestorsoften choose more than one financial asset portfolio to reduce investmentrisk, how to describe the correlationbetwee n the nu