برآورد ارزش در معرض ریسک با وجود ساختار وابستگی بین بازدهی‏های مالی: رهیافت مبتنی بر توابع کاپولا

نوع مقاله: مقاله پژوهشی

نویسندگان

1 دانشیار، دانشگاه صنعتی شریف، دانشکدة مدیریت و اقتصاد

2 کارشناس ارشد علوم اقتصادی، دانشگاه صنعتی شریف

چکیده

شناسایی ساختار وابستگی بین دارایی‏های مالی و تأثیر آن در سنجه‏های ریسک همچون ارزش در معرض ریسک دارایی‏های مالی از موضوعات مورد توجه محققان است. اما، یکی از چالش‏های موجود بر سر راه این هدف، مدل‏سازی توزیع‏های توأم در ادبیات اقتصاد مالی است. کاپولا‌ها توابع توزیع توأم را به توزیع حاشیه‌ای تکین هر یک از متغیرها متصل کرده و ساختار وابستگی داده‏های چندمتغیره را به‌خوبی توصیف می‏کنند. در این پژوهش با انواع مختلف توابع کاپولا و مدل‏های واریانس ناهمسان شرطی تعمیم‏یافتهْ ساختار وابستگی بین دو شاخص قیمتی محصولات شیمیایی و دارویی بورس تهران در بازة زمانی دی 1383 تا اسفند 1391 ارزیابی می‌شود و تأثیر ساختار وابستگی در برآورد ارزش در معرض ریسک سبد دارایی متشکل از آن‌ها بررسی می‏شود. نتایج تجربی پژوهش نشان می‏دهد وابستگی ساختاری نامتقارنی بین محصولات شیمیایی و دارویی بورس تهران وجود دارد. همچنین، یافته‏ها حاکی از دقت و کفایت بیشتر رهیافتCopula-GARCH نسبت به مدل‏های متداول در پیش‏بینی ارزش در معرض ریسک سبد دارایی همچون M-GARCH، DCC-GARCH، EWMA،و روش‏های شبیه‌سازی تاریخی است.

کلیدواژه‌ها


عنوان مقاله [English]

Estimation of Value at Risk in the Presence of Dependence Structure in Financial Returns: A Copula Based Approach

نویسندگان [English]

  • GholamReza keshavarz Haddad 1
  • Mehrdad Heyrani 2
1 Associate Professor Sharif University of Technology
2 Master of Economic Sciences, Sharif University of Technology
چکیده [English]

Modeling dependence structure in financial economics is of paramount importance when estimating portfolio’s value at risk, since risk of an asset in addition to its own behavior is also dependent on the behavior of other assets in the portfolio. Application of joint distribution Copula is one of the methods for incorporation dependence at lower and upper tail of returns’ distribution in financial economics. Copulas are functions that connect multivariate distribution function to their marginal distribution. In the current study, the dependence structure among two price indexes for chemical and pharmaceutical products of TEPIX between 3/1/2005 – 18/3/2013 was evaluated by combining different types of Copula functions and Generalized Autoregressive Conditional Heteroskedasticity (GARCH) models. In addition, the effect of dependence structure on estimation of comprised portfolio’s value at risk is investigated. Empirical results of this study demonstrate that there is asymmetric dependence structure between chemical and pharmaceutical products of TEPIX indexes. Furthermore, the results indicate that Copula-GARCH approach is more accurate and efficient compared to commonly used models such as M-GARCH, DCC-GARCH, EWMA, and historical simulation methods in estimation of portfolio’s value at risk

کلیدواژه‌ها [English]

  • Value at Risk
  • Dependence Structure
  • Copula function
  • GARCH
  • Back Testing
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