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中文摘要：
结合EVT极值理论,构建了4类时变Copula模型,拟合了股指间的动态极值相依系数,并对各类资产组合进行了预期损失ES风险测度.通过Backtesting方法,对比研究了不同时变Copula-EVT-ES模型的风险测度精度.实证结果表明,在市场极端波动状况下,结合EVT极值理论的时变Copula-ES模型能够对资产组合尾部极值风险进行有效测度,并且对于空头头寸的风险测度效果优于其在多头头寸的表现.善于刻画变量间厚尾极值相依关系的时变t Copula-EVT-ES能够取得较好的组合风险测度效果,而对于二元资产组合,在高风险水平上,时变SJC Copula-EVT-ES模型也值得重点关注.
英文摘要：
In this paper, combined with extreme value theory （EVT）, four categories of time-varying Copula models were constructed, the dynamic extreme value contingency coefficients between stock indexes were fitted and risk measurement was conducted on each portfolio. By means of baektesting analysis method, a compara- tive study on the precision of the risk measurement of different time-varying Copula-EVT-ES models was made. The empirical results show that in the condition of extreme market volatility, the time-varying Copula-ES model combined with EVT can effectively measure the extreme value risk at the tails of portfolios, and the risk models can get more precise measurements for short positions than long positions. The time-varying t Copula-EVT-ES model which is conducive to depicting the dependency of the fat tail extreme values of variables has a better performance in portfolio risk measurement; in high risks, time-varying SJC Copula-EVT-ES model is also wor- thy of special attention, especially for dual portfolios.
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