Study on Risk Measurement of Portfolio Based on Multivariate GARCH and Extreme Value Theory
LIN Yu, TAN Bin, WEI Yu
1. Chengdu University of Technology, Chengdu, China; 2. China West Normal University, Nanchong, Sichuan， China; 3. Southwest Jiaotong University, Chengdu, China
This paper applies the multivariate GARCH and Extreme Value Theory to construct asset portfolio risk measurement model.This paper applies multivariate GARCH to model covariance matrix of asset portfolio loss,and to calculate the standardized residual series of portfolio loss,and then applies EVT to model the extreme tail of standardized residual series,and measure portfolio dynamic extreme risk,at last,this paper applies Back-testing method to check the accuracy of the different risk models.Our result show that multivariate GARCH model can capture the time varying correlations of different losses effectively; the distribution of extreme tail is close to GPD; multivariate GARCH and EVT can measure the dynamic risk of asset portfolio accurately.
林宇, 谭斌, 魏宇. 基于多元GARCH与极值理论的资产组合风险测度研究[J]. J4, 2010, 7(4): 605-.
LIN Yu, TAN Bin, WEI Yu. Study on Risk Measurement of Portfolio Based on Multivariate GARCH and Extreme Value Theory. J4, 2010, 7(4): 605-.
2010, Vol. 7 
