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Assessing portfolio market risk in the BRICS economies: use of multivariate GARCH models
Lumengo Bonga-Bonga and Lebogang Nleya 2016-12-29
This paper compares the performance of the different models used to estimate portfolio value-atrisk (VaR) in the BRICS economies. Portfolio VaR is estimated with three different multivariate risk models, namely the constant conditional correlation (CCC), the dynamic conditional correlation (DCC) and asymmetric DCC (ADCC) GARCH models. Risk performance measures such as the average deviations, quadratic probability function score and the root mean square error are used to back-test the performance of the models at 90%. The results indicate that portfolios with more weight to currency and less to equities prove to be the best way of minimizing loses in BRICS.
이전글 | 수출확대를 위한 국가별 경제협력방안 수립 : 중국 | 2016-12-29 |
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다음글 | THE FUTURE OF CHINA’S ECONOMIC TRANSFORMATION AND INDIA’S ECONOMIC STRATEGIES | 2016-12-29 |