Risk Measurement of Financial Portfolio Based on T-Copula-SV-T-EVT Model

According to the stylized factscharacteristic of financial asset returns, combining Copula functions, Extreme Risk Theory and SV model, this paper constructed the risk measurement model which could reflect both the characteristics and the correlation structure of the financial asset returns. The combination of Monte Carlo simulations was applied to measure the portfolio risks. Empirical studies of the Oriental Strategy growth fund were carried out. The results show that marginal distribution function selection and Copula marginal distribution choice have impact on portfolio risks. By comparing different risk measurement models that have different marginal distributions and Copula functions, we find that the T-Copula-SV-T-EVT model is more superior while test indicates this model can both effectively and reasonably measure financial market risks.