• 제목/요약/키워드: non-parametric marginals

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Copula를 이용한 국민연금기금의 통합위험에 관한 연구 (Copula Approach for the Measurement of Integrated Risk of National Pension Fund)

  • 변진호;남재우;이호선
    • 산업공학
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    • 제24권1호
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    • pp.24-39
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    • 2011
  • In this paper, we study the methodology for the measurement and integration of market risk and credit risk using Copula. We apply the methodology of Rosenberg, and Schuermann(2006) to the assets of pension system. Firstly we estimate dynamics of risk factors and their effects on investment returns, then use the estimated result to simulate future movement of risk factors and distribution of investment returns. Finally we measure integrated risk using integrated return distribution by Copula and simulated future investment return distributions. We found the integrated risk changing with the correlation of risks and investment weights of risks and confirmed the diversification effect of risks. This result is consistent when we use normal Copula and normal marginals, t-Copula and t(3) marginals, and normal Copula and non-parametric marginals. And in the case of non-parametric maginals, larger integrated risk is calculated. It means that use of non-parametric marginals is more conservative.