The measurement of portfolio VaR has been a hot issue in the field of the academic and the industry. This paper applies three kinds of Vine Copula model to describe high-dimensional dependency structure between multiple assets, introduces mixed binary copula function to improve the accuracy of tail dependence structure. We use six important stock markets as stock portfolio to test this model. The empirical results show that introducing mixed Copula function can improve the measurement reliability of Vine Copula model, and the reliability of mixed R-Vine model is highest in three kinds of mixed Vine Copula models.
| Published in | Journal of Finance and Accounting (Volume 5, Issue 2) |
| DOI | 10.11648/j.jfa.20170502.12 |
| Page(s) | 80-86 |
| Creative Commons |
This is an Open Access article, distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution and reproduction in any medium or format, provided the original work is properly cited. |
| Copyright |
Copyright © The Author(s), 2017. Published by Science Publishing Group |
Mixed Copula, Vine Copula, Dynamic of VaR, Portfolio
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APA Style
Zhao Ru-bo, Tian Yi-xiang, Tian Wei, Chen Xiu-rong. (2017). Measurement of Dynamic Portfolio VaR Based on Mixed Vine Copula Model. Journal of Finance and Accounting, 5(2), 80-86. https://doi.org/10.11648/j.jfa.20170502.12
ACS Style
Zhao Ru-bo; Tian Yi-xiang; Tian Wei; Chen Xiu-rong. Measurement of Dynamic Portfolio VaR Based on Mixed Vine Copula Model. J. Finance Account. 2017, 5(2), 80-86. doi: 10.11648/j.jfa.20170502.12
AMA Style
Zhao Ru-bo, Tian Yi-xiang, Tian Wei, Chen Xiu-rong. Measurement of Dynamic Portfolio VaR Based on Mixed Vine Copula Model. J Finance Account. 2017;5(2):80-86. doi: 10.11648/j.jfa.20170502.12
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Download@article{10.11648/j.jfa.20170502.12,
author = {Zhao Ru-bo and Tian Yi-xiang and Tian Wei and Chen Xiu-rong},
title = {Measurement of Dynamic Portfolio VaR Based on Mixed Vine Copula Model},
journal = {Journal of Finance and Accounting},
volume = {5},
number = {2},
pages = {80-86},
doi = {10.11648/j.jfa.20170502.12},
url = {https://doi.org/10.11648/j.jfa.20170502.12},
eprint = {https://article.sciencepublishinggroup.com/pdf/10.11648.j.jfa.20170502.12},
abstract = {The measurement of portfolio VaR has been a hot issue in the field of the academic and the industry. This paper applies three kinds of Vine Copula model to describe high-dimensional dependency structure between multiple assets, introduces mixed binary copula function to improve the accuracy of tail dependence structure. We use six important stock markets as stock portfolio to test this model. The empirical results show that introducing mixed Copula function can improve the measurement reliability of Vine Copula model, and the reliability of mixed R-Vine model is highest in three kinds of mixed Vine Copula models.},
year = {2017}
}
TY - JOUR T1 - Measurement of Dynamic Portfolio VaR Based on Mixed Vine Copula Model AU - Zhao Ru-bo AU - Tian Yi-xiang AU - Tian Wei AU - Chen Xiu-rong Y1 - 2017/04/21 PY - 2017 N1 - https://doi.org/10.11648/j.jfa.20170502.12 DO - 10.11648/j.jfa.20170502.12 T2 - Journal of Finance and Accounting JF - Journal of Finance and Accounting JO - Journal of Finance and Accounting SP - 80 EP - 86 PB - Science Publishing Group SN - 2330-7323 UR - https://doi.org/10.11648/j.jfa.20170502.12 AB - The measurement of portfolio VaR has been a hot issue in the field of the academic and the industry. This paper applies three kinds of Vine Copula model to describe high-dimensional dependency structure between multiple assets, introduces mixed binary copula function to improve the accuracy of tail dependence structure. We use six important stock markets as stock portfolio to test this model. The empirical results show that introducing mixed Copula function can improve the measurement reliability of Vine Copula model, and the reliability of mixed R-Vine model is highest in three kinds of mixed Vine Copula models. VL - 5 IS - 2 ER -
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