关键词: 藤Copula分组模型, 金融市场, 相依结构, 风险度量, 返回检验

Abstract: The traditional Vine Copula model can be used to depict the dependence among financial assets, but there is an issue, i.e., taking the assets from different industries as a whole. Taking the different industries of financial institutions in the financial market, this paper proposes a grouped Vine Copula model, presents concrete algorithmic steps for it and proves the convergence of the algorithm. Finally, by means of the backtesting analysis, a study and comparison is done on the precision of VaR estimation among banking, securities and insurance industries using the grouped and the traditional ungrouped Vine Copula models. The result shows that the grouped one predicts more accurate and efficient outcomes.

Key words: Vine Copula Grouped Model, Financial Market, Dependence Structure, Risk Measurement, Backtesting