2021 Fiscal Year Final Research Report
Application of multivariate copula to financial risk management
| Project/Area Number |
19K23226
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| Research Category |
Grant-in-Aid for Research Activity Start-up
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| Allocation Type | Multi-year Fund |
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| Review Section |
0107:Economics, business administration, and related fields
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| Research Institution | Tokyo Metropolitan University |
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Principal Investigator |
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| Project Period (FY) |
2019-08-30 – 2022-03-31
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| Keywords | 接合関数 / 裾従属性 / 非対称性 / ポートフォリオリスク / 誤方向リスク |
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| Outline of Final Research Achievements |
In financial risk management, tail dependent Student-t copulas, instead of popular Normal copula, are sometimes used to capture joint plunges of multiple assets. However, the Student-t copula captures the lower tail dependence symmetry with the upper tail dependence. In this study, we have proposed to use skew-t copulas which capture both the strength of the tail dependence and the asymmetry. We have published "Properties of skew-t copulas and their statistical estimation: Application to asset returns" on Proceedings of the Institute of Statistical Mathematics, and "Tail dependence, tail asymmetry and credit portfolio risk" on Journal of the Japan Statistical Society. And we have reported "Value-at-risk and expected shortfall of stock portfolio using skew-t copulas" on several academic conferences at home and abroad.
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| Free Research Field |
金融データサイエンス
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| Academic Significance and Societal Importance of the Research Achievements |
金融ポートフォリオのリスク管理では、保有資産の価値が同時に下落することが大きなリスクであり、これを捉えられるような資産間の依存関係のモデリングが求められる。金融実務でよく用いられるモデリングは正規接合関数を用いたものであり、極端な同時下落や同時上昇を捉えられない。これに対し、実務では裾での依存性が強くなるt接合関数が用いられることがあるが、上昇方向よりも下落方向の依存性が強い現象は捉えられない。本研究は裾での依存性と非対称性を同時に捉えられる接合関数の構築や性質の理解を目指すもので、学術面でも実務面でも金融リスク管理での意義は大きい。
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