Applications of Bivariate Extreme Value Theory for Measuring Tail Risk between Shanghai and Shenzhen Stock Markets

The bivariate extreme value theory is applied to research the heavy-tail characteristic of the joint distribution for the Shanghai and Shenzhen stock markets.A new extreme copula——t-EV-copula,compared with the Gumble copula,not only simulate the extreme data very well,but also can catch the upper dependence and the lower dependence,then obtain the function of the tail joint distribution based on the t-EV-copula and it's figure is also obtained.At last is used VaR as the risk measure to describe the tail character of the joint distribution.