2006•Journal of Inner Mongolia University for the NationalitiesRequires access
The Application of Measure Portfolio VaR Based on Copula
Kong Fan-li
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Abstract
We discussed Copula theory in portfolio risk management in the article.Firstly we introduce the definition of Copula and Sklar's theorem.Then we give three forms of copula,i.e.Gaussian-Copula,t-Copula and Gumble Copula.In the empirical research we choosed Shanghai and Shenzhen stockmarket index,under the condition of equal weight portfolio,we compute the VaR in the different confidence level.