2004•Zhongguo guanli kexueRequires access

Risk Analysis of Foreign Exchange Markets by Copula

Miao Bai-qi

Abstract

In this paper risk analysis of two-assets portfolio is investigated using Archimedean Copula.The least VaR portfolio of two-assets portfolio can be found by selecting proper Copula.In the practice of foreign exchange markets,the least VaR portfolio of European dollar and Japanese yen is gotten.Also the sensitivity of VaR to the combination coefficients is given.

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Key concepts: Copula (linguistics), Portfolio, Foreign exchange, Economics, Econometrics, Financial economics, Liberian dollar, Monetary economics