Empirical Research of Two Factors Vasicek Model Based on Copula
WU Heng-Yu, CHEN Peng, YAN Wu, LV Jiang-Lin
1. South China Universty of Technology, Guangzhou, China; 2. Fortune Secarities, Shenzhen, Guangdong, China; 2. Jiangxi University of Finance & Economics, Nanchang, China
Two-factor Vasicek model in state-space framework with Kalman filtering is applied to research treasury term structure of interest rates in Shanghai Stock Exchange. The observation errors of 1-year and 20-year interest rates were extracted, estimated the marginal distribution with the nonparametric method under the condition of no-specific distribution assumption. It calibrates the Archimedean Copula and mix copula by MLE. We find that the Gumbel Copula and Mix Copula are more suitable. At last, the VaR of Treasury Portfolio is valued by a new Mont Carlo simulation approach , we conclude that it would underestimate the risk to assume that the dependence structure follow Gaussian Copula, Frank Copula, Clayton Copula and mix Copula, Gumbel Copula is more superior.
吴恒煜, 陈鹏, 严武, 吕江林. 基于Copula的两因子Vasicek利率模型实证研究[J]. J4, 2010, 7(10): 1529-.
WU Heng-Yu, CHEN Peng, YAN Wu, LV Jiang-Lin. Empirical Research of Two Factors Vasicek Model Based on Copula. J4, 2010, 7(10): 1529-.