The Pledge Rate Research of Copper and Zinc Inventory Portfolio Based on Copula-VaR Method
Issue:
Volume 3, Issue 2, April 2014
Pages:
37-41
Received:
23 July 2014
Accepted:
29 July 2014
Published:
10 August 2014
Abstract: This paper selects copper and zinc as a stock portfolio of mortgage financing. It calculates stock portfolio return risk by the value at risk method, introduces Copula function to measure the two pledges' relationship, simulates portfolio yield trend by Monte Carlo method to get Var value. At last compare Copula-Var method with traditional method, The new method can reflect more collateral prices spike characteristics, estimated loss better when value at risk. The conclusion of the study establishes the foundation for further study on the theory and methods of inventory financing portfolio.
Abstract: This paper selects copper and zinc as a stock portfolio of mortgage financing. It calculates stock portfolio return risk by the value at risk method, introduces Copula function to measure the two pledges' relationship, simulates portfolio yield trend by Monte Carlo method to get Var value. At last compare Copula-Var method with traditional method, ...
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