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Measurement on the Financial Assets Portfolio Risk based on the Copula-VaR Model

Dequan Yao

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Abstract

Based on Copula Function,the VaR method has been improved and the new Copula-VaR mode has been built.Through the empirical research on the financial assets portfolio,the paper gets VaR results,and the empirical results suggest that the Copula-VaR model can measure the value at risk of the financial assets portfolio more exactly.

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What this paper is about

Based on Copula Function,the VaR method has been improved and the new Copula-VaR mode has been built.Through the empirical research on the financial assets portfolio,the paper gets VaR results,and the empirical results suggest that the Copula-VaR model can measure the value at risk of the financial assets portfolio more exactly.

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Available abstract

Based on Copula Function,the VaR method has been improved and the new Copula-VaR mode has been built.Through the empirical research on the financial assets portfolio,the paper gets VaR results,and the empirical results suggest that the Copula-VaR model can measure the value at risk of the financial assets portfolio more exactly.

Key concepts: Copula (linguistics), Portfolio, Value at risk, Econometrics, Economics, Vector autoregression, Portfolio optimization, Financial economics

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