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Measurement of Dynamic Portfolio VaR Based on Mixed Vine Copula Model

Received: 21 April 2017     Published: 21 April 2017
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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.

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

Keywords

Mixed Copula, Vine Copula, Dynamic of VaR, Portfolio

References
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[15] G. N. F. Weiß, “Supper H. Forecasting liquidity-adjusted intraday Value-at-Risk with vine copulas,” Journal of Banking & Finance, vol.37, pp. 3334-3350, 2013.
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Cite This Article
  • 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

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    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

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    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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  • @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}
    }
    

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  • 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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Author Information
  • School of Management and Economics, University of Electronic Science and Technology of China, Chengdu, China

  • School of Management and Economics, University of Electronic Science and Technology of China, Chengdu, China

  • School of Management and Economics, University of Electronic Science and Technology of China, Chengdu, China

  • School of Management and Economics, University of Electronic Science and Technology of China, Chengdu, China

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