基于copula方法在开放式基金投资组合风险管理中的应用研究

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1、硕士学位沦文AbstractThetraditionalcorrelationcoe伍cientmatrixcannotbeagooddescriptionofthenonlineard印endencestmctureoffinancialassets，ThisaniclecombinesdynamicCopulamnctionandGARCHmodelonCopula—GARCHmodelforopen—end如ndponf01ioriskanddependencystmcture．ThismodelcanefrectiVelycircumVentthe

2、traditional1ineardependencestmctureassumedmodelseterror，butalsotakeintoaccountthedependencyofthedynamicchangesindependenciesbetweenassetsinordertobettercharacterizationofthestmctureoftime—VaryingcharacteristicsFirstly；theconceptandconnotationoftheopen—endflunddescribedtoconlpareth

3、eexistingmeasureoftheriskoffinancialHlarketretums．F01lowedbyapplicationoftheAutocorrelationtestmethodstesttimeseriesofopen—end向ndnetincometodistinguishwhetherthetimeseriesofopen—end向ndretumsexistenceofhigherorderserialcorrelation．ARCH—LMtestofthetimeseriesand印pliedtotesta11ddeteml

4、inewhetherahigherorderARCHeffect，andasabasistoselecttheappropriateGARCHmodeltodescribethemarginaldistributionoftheopen—endmndretum．Thedistributionassumedinordertoexpressthetimeseriesofopen—endmndretumdistribution’scharacteristicsofagoodcharacterizationoftheapplicatiOnoftheKStestan

5、dADtestontheedgeoftheretumseriesofopen—endmnddistributionmodel’sgoodnessof6ttest．Again，theuseofdiff．erenttime—varyingCopula如nctiontodescribethedependencyrelationshipbetweentheopen—endmndassets．Finally；combiningtheMonteCarlosimulationtec}11liqueandtime—VaryingCopulamnctiontomeasure

6、open—end如ndportf-01ioriskVaR，theprobabilityofpotentiallossestorenecttheopen—end如ndponfl01ioriskchangestotheirassetsindif五：rentrisksituations．Weselectedthethreerepresentativeopen—endmndsasaresearchobject，andfoundtime—Var)ringClaytonCopula—AR(p)一GARCHmodelestimatesmeVaRismoreaccurat

7、eandmorecomprehensiVecoVeragemaximum10ssoftheriskineachcon6denceleVel，soastoachieVethepu印oseof“skcontr01Theinnovationofthisarticleismainlyrenectedin：theconstructedmodelcanefkctiVelyaVoidthee舯rofthemodelsetbythe6nancialtimeseriesarecommonfattailandpartialcharacteristics；goodnessofn

8、ttesttodetenninethetypeofoptimalC