Title :
Social Security Fund Portfolio Risk Measurement Based on Dynamic Diagonal BEKK-MGARCH
Author :
Li Chaojie ; Jiang Hongli
Author_Institution :
Bus. Sch., Hohai Univ., Nanjing, China
Abstract :
Taking into account the current social security fund primarily invested to stocks and bonds, we construct the portfolio based on Shanghai & Shenzhen 300 index and bond index on behalf of pension fund investment portfolio, compute the risk of portfolio based on dynamic diagonal BEKK-MGARCH, carry out Kupiec test, compare the result with CCC-MGARCH model. The result shows that dynamic diagonal BEKK-MGARCH is better than CCC-MGARCH model in the aspect of measuring the risk of social security fund portfolio. The result also shows that, if invest one hundred units,the daily VaR and ES are 2.4056 and 4.1163.
Keywords :
investment; pensions; risk management; CCC-MGARCH model; Diagonal BEKK-MGARCH; Kupiec test; pension fund; social security fund portfolio risk measurement; Computational modeling; Correlation; Indexes; Investments; Portfolios; Reactive power; Security;
Conference_Titel :
Management and Service Science (MASS), 2011 International Conference on
Conference_Location :
Wuhan
Print_ISBN :
978-1-4244-6579-8
DOI :
10.1109/ICMSS.2011.5998346
